Band pass filter for time series data -------------------------------------
^bpass^ varname pl pu
Description -----------
^bpass^ filters time series data using an approximation to the band pass filter as discussed in the paper "The Band Pass Filte > r" by Lawrence J. Christiano and Terry J. Fitzgerald (1999).
The ^pl^ and ^pu^ arguments specify the minimum period of oscillation and maxim > um period of oscillation of the desired component of the time series, where 0 < pl < pu < infinity.
The routine outputs a matrix fX which is the filtered time series.
You should ^set matsize 800^ before calling this routine. Due to the matrix siz > e limits, a timeseries longer than 400 periods cannot be handled by this routine.
This program contains only the default filter recommended in Christiano and Fitzgerald (1999). This program was written by Eduard Pelz and > any errors are my own and not the authors. For those who wish to us > e optimal band-pass filters other than the default filter please > use the Matlab version of code available at www.clev.frb.org/economists > /fitzgerald.
Examples --------
. ^bpass gdp 6 32^ applied to quarterly data returns component with per > iod between 1.5 and 8.0 years . ^bpass ip 2 24^ applied to monthly data returns component with period > up to 2.0 years
Reference ---------
Lawrence J. Christiano and Terry J. Fitzgerald, The Band Pass Filter, Working Paper 9906, Federal Reserve Bank of Cleveland. http://www.clev.frb.org/research/workpaper/1999/index.htm#wp9906
Author ------ Eduard Pelz Federal Reserve Bank of Cleveland, USA eduard.pelz@@clev.frb.org