Baxter-King filtering?
On Fri, Nov 25, 2005 at 07:03:40AM +0530, Ajay Narottam Shah wrote:
A few weeks ago, Gabor showed this code for Hodrick Prescott filtering:
The literature seems to think that Baxter-King works better. The idea
This paper: "A Frequency Selective Filter for Short-Length Time Series" by Alessandra Iacobucci, May 2004 http://www.ofce.sciences-po.fr/pdf/dtravail/WP2004-05.pdf compares the Hodrick-Prescott, Baxter-King, and Christiano-Fitsgerald filters to his Hamming-windowed filter, and says that the Hamming-windowed is best.
Andrew Piskorski <atp at piskorski.com> http://www.piskorski.com/