CFFilter—Christiano-Fitzgerald Filter

[TomDoan]

@CFFILTER applies the Christiano-Fitzgerald band-pass filter to a series. Christiano and Fitzgerald(2003), "The Band Pass Filter", International Economic Review, 2003, vol 44, no. 2, pp. 435-465

cffilter.src

Detailed description

Example Program

Code: Select all

*
* This is a sample program to demonstrate the @CFFilter procedure for
* implementing the band pass filter from  Christiano and
* Fitzgerald(2003), "The Band Pass Filter", International Economic
* Review, 2003, vol 44, no. 2, pp. 435-465. 
*
* This is based upon the sample program from the authors' web sites, but
* updated from their RATS code to use the newer @CFFilter procedure
* rather than the original @BPASS.
*
cal(q)
data(org=obs,unit=input) 1 41 gdp
507.425
527.375
545.625
586.525
618.675
664.375
720.1
789.3
834.075
911.45
985.35
1039.675
1128.6
1240.425
1385.55
1501
1635.175
1823.925
2031.4
2295.875
2566.375
2795.55
3131.35
3259.225
3534.95
3932.75
4213
4452.85
4742.475
5108.325
5489.05
5803.25
5986.225
6318.95
6642.325
7054.3
7400.55
7813.175
8300.725
8759.95
9248.45
*
@cffilter(pl=2,pu=3,detrend) gdp / fgdp
print / gdp fgdp

[Alberto]

Hi Tom,
can you confirm whether the version of the CF filter computed by the @CFFILTER is the so-called full sample asymmetric one, where the weights on the leads and lags are allowed to differ and are time-varying, with the weights both depending on the data and changing for each observation (as opposed to the fixed lead/lag length symmetric version of the filter)?
thanks for the clarification
Alberto

[TomDoan]

It does the filter from the 2003 paper which requires adjusting the end weights. I don't know if that's what you mean.