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Added headers.

time-shift
Stéphane Adjemian (Charybdis) 2013-09-18 11:04:18 +02:00
parent a51d8bfe31
commit 7dc6013eaa
3 changed files with 39 additions and 2 deletions
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19
matlab/@dynSeries/baxter_king_filter.m
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function ts = baxter_king_filter(ts, high_frequency, low_frequency, K) % --*-- Unitary tests --*--
% Implementation of Baxter and King (1999) band pass filter for dynSeries objects.
% ts = baxter_king_filter(ts, high_frequency, low_frequency, K)
%
% Adapted from the code provided by Baxter and King.
% Implementation of Baxter and King (1999) band pass filter for dynSeries objects. The code is adapted from
% the one provided by Baxter and King. This filter isolates business cycle fluctuations with a period of length
% ranging between high_frequency to low_frequency (quarters).
%
% INPUTS
% o ts dynSeries object.
% o high_frequency positive scalar, period length (default value is 6).
% o low_frequency positive scalar, period length (default value is 32).
% o K positive scalar integer, truncation parameter (default value is 12).
%
% OUTPUTS
% o ts dynSeries object.
%
% REMARKS
% This filter use a (symmetric) moving average smoother, so that K observations at the beginning and at the end of the
% sample are lost in the computation of the filter.
% Copyright (C) 2013 Dynare Team
%

11
matlab/@dynSeries/hpcycle.m
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function ts = hpcycle(ts, lambda) % --*-- Unitary tests --*--
% ts = hpcycle(ts, lambda)
%
% Extracts the cycle component form a dynSeries object using Hodrick Prescott filter.
%
% INPUTS
% o ts dynSeries object.
% o lambda positive scalar, trend smoothness parameter.
%
% OUTPUTS
% o ts dynSeries object, with time series replaced by the cyclical component of the original time series.
% Copyright (C) 2013 Dynare Team
%
% This file is part of Dynare.

11
matlab/@dynSeries/hptrend.m
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function ts = hptrend(ts, lambda) % --*-- Unitary tests --*--
% ts = hptrend(ts, lambda)
%
% Extracts the trend component form a dynSeries object using Hodrick Prescott filter.
%
% INPUTS
% o ts dynSeries object.
% o lambda positive scalar, trend smoothness parameter.
%
% OUTPUTS
% o ts dynSeries object, with time series replaced by the trend component of the original time series.
% Copyright (C) 2013 Dynare Team
%
% This file is part of Dynare.