Grocer Function
NAME
bkfilter - Baxter-King filter
CALLING SEQUENCE
[fX,AA]=bkfilter(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
-
pl = minimum period of oscillation of desired component
-
pu = maximum period of oscillation of desired component
(2<=pl<pu<infinity)
-
nfix = length of the fixed filter (if typ = 'sym')
or: dropped observations at the beginning and end of resulting variable
-
typ = 'fixed' for a fixed length filter (default) or 'vari' for a variable length filter
Output
-
fX = (nX1) vector containing filtered data
-
AA = filtering matrix
DESCRIPTION
Baxter-King filter.
EXAMPLE
load('SCI/macros/grocer/db/bkfilter.dat'); [gdp_f,A]=bkfilter(gdp,2,8,'root=1','drift=1','asym')
AUTHOR
Eric Dubois 2004