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Business cycle extraction based on constrained multivariate HP filter

Gabor Vadas

QM&RBC Codes from Quantitative Macroeconomics & Real Business Cycles

Abstract: The code computes the cyclically adjusted budget balance by three methods: the aggregate approach of OECD/IMF, the simple disaggregate method of European Central Bank and finally our disaggregate method using the constrained multivariate HP filter and two behavior equations (production function and consumption equation). Sample data is included.

Language: GAUSS
Date: 2006, Revised 2007
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http://dge.repec.org/codes/vadas/CMHP.zip program code with sample data
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Persistent link: http://EconPapers.repec.org/RePEc:dge:qmrbcd:159

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Handle: RePEc:dge:qmrbcd:159