Grocer Function
NAME
cffilter - Christiano-Fitzgrald filter
CALLING SEQUENCE
[fX,AA]=cffilter(namey,pl,pu,arg1,...,argn)
PARAMETERS
Input
-
namey = a time series, a real (nx1) vector or a string equal to the name of a time series or a (nx1) real vector between quotes.TP
-
pl = minimum period of oscillation of desired component
-
pu = maximum period of oscillation of desired component
(2<=pl<pu<infinity)
- arg1,...,argn = optional arguments that can be the following:
- 'root=0' or 'root=1' whether you want to assume 0 or 1 unit root in time series (default: root = 1);
- 'drift=0' or 'drift=1' whether you want to assume no drift or a time trend in time series (default: drift = 1);
- 'filt=asym' or 'filt=sym' or 'filt=flsym' whether you want to use the asymmetric Filter, the symmetric Filter
or the Fixed Length Symmetric Filter (default='asym')
- 'nfix=xx' where xx is the fixed length (useful only for the symmetric filter, that is filt=flsym)
(default: nfix=-1).
- 'thet = xx' with xx vector corresponding to the MA representation of x (if root=0) or delta(x) (if root =1)
(default: thet=1)
Output
- cfy= the smoothed filtered series of the same type than y (if y is not a string) or evstr(y) (if y is a string)
DESCRIPTION
Christiano-Fitzgrald filter.
EXAMPLE
load('SCI/macros/grocer/db/cffilter.dat'); [gdp_f,A]=cffilter(gdp,2,8,'root=1','drift=1','asym')
This example provides the Christiano-Fitzgrald filter.
AUTHOR
Eric Dubois 2002