Message-ID: <20051125115501.GA3521@tehun.pair.com>
Date: 2005-11-25T11:55:01Z
From: Andrew Piskorski
Subject: Baxter-King filtering?
In-Reply-To: <20051125013340.GA1037@lubyanka.local>
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/