MATLAB Comovement Programs

Steve Sumner
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Steve Sumner: University of California, San Diego

QM&RBC Codes from Quantitative Macroeconomics & Real Business Cycles

Abstract: The set of programs on this website present two methods that can be used to obtain a concise set of descriptive results about the comovement of variables. The first method calculates the correlations of VAR forecast errors for two time-series at various forecast horizons. The second method calculates correlations of two filtered time-series at different frequencies using high-pass filters from the frequency domain (proposed by Baxter and King (1994)).

Language: Matlab
Date: 2000-09
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https://dge.repec.org/codes/sumner/ program code (application/x-matlab)
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Persistent link: https://EconPapers.repec.org/RePEc:dge:qmrbcd:70

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