Band-pass filter of King-Baxter type or Christiano?

Questions and discussions on Time Series Analysis
ivory4
Posts: 144
Joined: Mon Aug 24, 2009 12:16 pm

Band-pass filter of King-Baxter type or Christiano?

Unread post by ivory4 »

May I ask a question on behalf of someone else:
Does RATS have a program to compute bandpass filters proposed by Baxter & King (1999) REStat as well as Christiano & Fitzgerald (2003) Int Economic Review

Thanks
TomDoan
Posts: 7814
Joined: Wed Nov 01, 2006 4:36 pm

Re: Band-pass filter of King-Baxter type or Christiano?

Unread post by TomDoan »

BKFILTER.SRC for Baxter-King. http://www.estima.com/procs_perl/bkfilter.src
CFFILTER.SRC for Christiano-Fitzgerland http://www.estima.com/procs_perl/cffilter.src

Googling "Baxter-King RATS" or whatever-it-is RATS will generally find procedures and programs on our web site.
Post Reply