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Matlab implementation of commonly used filters

Author

Listed:
  • Pawe³ Kowal

    (Warsaw School of Economics)

Programming Language

Abstract

Matlab codes that implement commonly used filters in macroeconomics. We consider Baxter-King filter, Christiano-Fitzgerald filter, as well as standard and optimal finite sample approximation of Hodrick-Prescott and Butterworth filters.

Suggested Citation

  • Pawe³ Kowal, 2005. "Matlab implementation of commonly used filters," Computer Programs 0507001, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwppr:0507001
    Note: Type of Document - zip
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    File URL: https://econwpa.ub.uni-muenchen.de/econ-wp/prog/papers/0507/0507001.zip
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    Cited by:

    1. Jetter, Michael, 2014. "Volatility and growth: Governments are key," European Journal of Political Economy, Elsevier, vol. 36(C), pages 71-88.

    More about this item

    Keywords

    filters; Matlab;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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