Matlab code for A Method for Decomposing Time Series into Trend and Cycle Components

Julio Rotemberg

QM&RBC Codes from Quantitative Macroeconomics & Real Business Cycles

Abstract: This method separate a time series into a smooth component whose mean varies over time (the trend) and a stationary component (the cycle). the non-parametric method for obtaining the trend ensures that short term changes in trend growth are not associated with the current level of the cycle, thus ensuring a modicum of independence between the two series.

Language: Matlab
Date: 1999-12
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https://dge.repec.org/codes/rotemberg/detrend.zip program code (application/x-matlab)
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Related works:
Working Paper: A Heuristic Method for Extracting Smooth Trends from Economic Time Series (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:dge:qmrbcd:75

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