A Note on the Baxter-King Filter

Ulrich Woitek

Working Papers from Business School - Economics, University of Glasgow

Abstract: Recently, Baxter and King (1995) developed a bandpass filter which overcomes to some extent the well known drawbacks of the Hodrick-Prescott filter. In this paper, the circumstances under which the Baxter-King filter is preferable are identified, and a modification is presented which takes into account spurious side lobes generated by this method.

Date: 1998-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (22)

Downloads: (external link)
http://www.gla.ac.uk/media/media_219052_en.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gla:glaewp:9813

Access Statistics for this paper

More papers in Working Papers from Business School - Economics, University of Glasgow Contact information at EDIRC.
Bibliographic data for series maintained by Business School Research Team ().