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A Note on the Baxter-King Filter

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  • Ulrich Woitek

Abstract

Recently, Baxter and King (1995) developed a bandpass filter which overcomes to some extent the well known drawbacks of the Hodrick-Prescott filter. In this paper, the circumstances under which the Baxter-King filter is preferable are identified, and a modification is presented which takes into account spurious side lobes generated by this method.

Suggested Citation

  • Ulrich Woitek, 1998. "A Note on the Baxter-King Filter," Working Papers 9813, Business School - Economics, University of Glasgow.
    • Handle: RePEc:gla:glaewp:9813
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    References listed on IDEAS

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    1. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
    2. Michael Reiter & Ulrich Woitek, 1999. "Are There Classical Business Cycles?," Working Papers 1999_05, Business School - Economics, University of Glasgow.
    3. Osborn, Denise R, 1995. "Moving Average Detrending and the Analysis of Business Cycles," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 57(4), pages 547-558, November.
    4. Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
    5. Harvey, A C & Jaeger, A, 1993. "Detrending, Stylized Facts and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(3), pages 231-247, July-Sept.
    6. Baxter, Marianne, 1994. "Real exchange rates and real interest differentials: Have we missed the business-cycle relationship?," Journal of Monetary Economics, Elsevier, vol. 33(1), pages 5-37, February.
    7. Cogley, Timothy & Nason, James M., 1995. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research," Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 253-278.
    8. Canova, Fabio, 1998. "Detrending and business cycle facts," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 475-512, May.
    9. Stock, James H. & Watson, Mark W., 1999. "Business cycle fluctuations in us macroeconomic time series," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 1, pages 3-64, Elsevier.
    10. Alain Guay & Pierre Saint-Amant, 2005. "Do the Hodrick-Prescott and Baxter-King Filters Provide a Good Approximation of Business Cycles?," Annals of Economics and Statistics, GENES, issue 77, pages 133-155.
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    Citations

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    Cited by:

    1. Uebele, Martin & Ritschl, Albrecht, 2009. "Stock markets and business cycle comovement in Germany before World War I: Evidence from spectral analysis," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 35-57, March.
    2. Bernd Süssmuth, 2002. "National and Supranational Business Cycles (1960-2000): A multivariate description of central G7 and EURO15 NIPA aggregates," CESifo Working Paper Series 658, CESifo.
    3. Michael Reiter & Ulrich Woitek, 1999. "Are There Classical Business Cycles?," Working Papers 1999_05, Business School - Economics, University of Glasgow.
    4. Owolabi, Adegboyega O. & Berdiev, Aziz N. & Saunoris, James W., 2022. "Is the shadow economy procyclical or countercyclical over the business cycle? International evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 257-270.
    5. Sarferaz, Samad & Uebele, Martin, 2009. "Tracking down the business cycle: A dynamic factor model for Germany 1820-1913," Explorations in Economic History, Elsevier, vol. 46(3), pages 368-387, July.
    6. Cinzia Alcidi & Mathias Dolls & Clemens Fuest & Carla Krolage & Florian Neumeier, 2017. "The Nature of Shocks in the Eurozone and Their Absorption Channels," EconPol Policy Reports 3, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    7. Kufenko, Vadim, 2016. "Spurious periodicities in cliometric series: Simultaneous testing," Violette Reihe: Schriftenreihe des Promotionsschwerpunkts "Globalisierung und Beschäftigung" 48/2016, University of Hohenheim, Carl von Ossietzky University Oldenburg, Evangelisches Studienwerk.
    8. Ton Kwaak & Werner Liebregts, 2012. "Time series for main variables on the performance of Dutch SMEs," Scales Research Reports H201204, EIM Business and Policy Research.
    9. Bob Hart & Jim Malley & Ulrich Woitek, 2001. "Real Wages and the Cycle: The View from the Frequency Domain," Working Papers 2001_2, Business School - Economics, University of Glasgow.
    10. Cristina Fernández & Andrés González G., 2000. "Integración y vulnerabilidad externa en Colombia," Coyuntura Económica, Fedesarrollo, December.
    11. Goldrian Georg, 2005. "Weaknesses of the Baxter-King Filter: Is a Pattern-Based Filter an Alternative? / Schwächen des Baxter-King Filters: Ist ein musterbasierter Filter eine Alternative?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 225(4), pages 386-393, August.
    12. Audrey Allegret, 2010. "Real exchange rate misalignments and economic performance for the G20 countries," Working Papers hal-04140932, HAL.
    13. Hart, Robert A. & Malley, James R., 1999. "On the Cyclicality and Stability of Real Earnings," IZA Discussion Papers 45, Institute of Labor Economics (IZA).
    14. Robert Hart & James Malley & Ulrich Woitek, 2009. "Real earnings and business cycles: new evidence," Empirical Economics, Springer, vol. 37(1), pages 51-71, September.
    15. Willie Lahari, 2011. "Assessing Business Cycle Synchronisation - Prospects for a Pacific Islands Currency Union," Working Papers 1110, University of Otago, Department of Economics, revised Oct 2011.
    16. Audrey Sallenave, 2010. "Real exchange rate misalignments and economic performance for the G20 countries," EconomiX Working Papers 2010-1, University of Paris Nanterre, EconomiX.
    17. repec:hum:wpaper:sfb649dp2005-056 is not listed on IDEAS
    18. El Andari, Chifaa & Bouaziz, Rached, 2015. "Is the Okun's law valid in Tunisia?," MPRA Paper 67998, University Library of Munich, Germany, revised 19 Nov 2015.

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