Weaknesses of the Baxter-King Filter: Is a Pattern-Based Filter an Alternative? / Schwächen des Baxter-King Filters: Ist ein musterbasierter Filter eine Alternative?

Goldrian Georg ()
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Goldrian Georg: ifo Institut für Wirtschaftsforschung an der Universität München, Poschingerstraße 5, D-81679 München, Germany

Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2005, vol. 225, issue 4, 386-393

Abstract: The Baxter-King filter shows some weaknesses, particularly with regard to monthly time series. This procedure involves not only a loss of data for the border areas of time series, but suppresses inadequately high frequency components and shows as a low-pass filter only the performance of ordinary moving averages. Another important finding is that the maximal lag Κ not only determines the degree of approximation to an ideal filter, as Baxter and King argue, but also the ability to extract a slow moving component. A pattern-based filter, whose weights are generated by a trigonometric function as well, does not possess such weaknesses, and is thus a real alternative to the Baxter-King filter.

Keywords: Tiefpassfilter; Baxter-King Filter; Zeitreihenanalyse; Low-pass filter; Baxter-King filter; time series analysis; Tiefpassfilter; Baxter-King Filter; Zeitreihenanalyse (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:jns:jbstat:v:225:y:2005:i:4:p:386-393

DOI: 10.1515/jbnst-2005-0402

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