Asymmetric Baxter-King filter

Ginters Buss

MPRA Paper from University Library of Munich, Germany

Abstract: The paper proposes an extension of the symmetric Baxter-King band pass filter to an asymmetric Baxter-King filter. The optimal correction scheme of the ideal filter weights is the same as in the symmetric version, i.e, cut the ideal filter at the appropriate length and add a constant to all filter weights to ensure zero weight on zero frequency. Since the symmetric Baxter-King filter is unable to extract the desired signal at the very ends of the series, the extension to an asymmetric filter is useful whenever the real time estimation is needed. The paper uses Monte Carlo simulation to compare the proposed filter's properties in extracting business cycle frequencies to the ones of the original Baxter-King filter and Christiano-Fitzgerald filter. Simulation results show that the asymmetric Baxter-King filter is superior to the asymmetric default specification of Christiano-Fitzgerald filter in real time signal extraction exercises.

Keywords: real time estimation; Christiano-Fitzgerald filter; Monte Carlo simulation; band pass filter (search for similar items in EconPapers)
JEL-codes: C13 C15 C22 (search for similar items in EconPapers)
Date: 2011-01-17
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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