Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series

Marianne Baxter () and Robert King ()

The Review of Economics and Statistics, 1999, vol. 81, issue 4, 575-593

Abstract: Band-pass filters are useful in a wide range of economic contexts. This paper develops a set of approximate band-pass filters and illustrates their application to measuring the business-cycle component of macroeconomic activity. Detailed comparisons are made with several alternative filters commonly used for extracting business-cycle components. © 2000 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology

Date: 1999
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Working Paper: Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series (1995)
Software Item: BKFILTER: RATS procedure to implement band pass filter using Baxter-King method
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