scroll up
scroll down

[bandpass filter]

The Hodrick-Prescott Problem has a boundary value problem.

The band pass filter is another detrending method. Christiano and Fitzgerald developed a generalised version of the Baxter King band pass filter. In their manuscript they describe an algorithm to approximate the ideal band pass filter.

 


[notes]

This Add-In only contains the default filter recommended in Christiano and Fitzgerald (2001).


[related links]

All links will be open in a new window

The Band Pass Filter, by Christiano & Fitzgerald. Original manuscript. (PDF)

 

Links to other sites from these pages are for information only and Kurt Annen accepts no responsibility or liability for access to, or the material on, any site which is linked from or to this site.


screenshot of bp-filter add-in


[download]

for downloading click on the filename

File: bpfilter.zip
Filesize: 37 kb

The Bandpass Filter Add-In was written by Kurt Annen. This program is freeware. But I would highly appreciate if you could give me credit for my work by providing me with information about possible open positions as an economist. My focus as an economist is on econometrics and dynamic macroeconomics. If you like the program, please send me an email.

annen@web-reg.de

[bandpass filter excel add-in]
© 2005 Kurt Annen