A Note on the Baxter-King Filter
نویسنده
چکیده
Recently, Baxter and King (1995) developed a bandpass lter which overcomes to some extent the well known drawbacks of the Hodrick-Prescott lter. In this paper, the circumstances under which the Baxter-King lter is preferable are identi ed, and a modi cation is presented which takes into account spurious side lobes generated by this method. I am indebted to Brian A'Hearn, Markus Heintel, Jim Malley, Michael Reiter, and seminar participants at the University of Glasgow for helpful comments and suggestions. Department of Economics, University of Glasgow, Adam Smith Building, Glasgow G12 8RT, email [email protected]
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تاریخ انتشار 1998