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Add bandpass filtering to simulated moments 

Also takes precautions for future implementation of one-sided hp filter
time-shift
Johannes Pfeifer 2015-08-04 08:47:39 +02:00
parent a4b04ca9b4
commit 9459ff5d8f
2 changed files with 11 additions and 3 deletions
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12
matlab/disp_moments.m
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@ -42,10 +42,18 @@ y = y(ivar,options_.drop+1:end)';
m = mean(y);
if options_.hp_filter
if options_.hp_filter && ~options.one_sided_hp_filter && ~options_.bandpass.indicator
[hptrend,y] = sample_hp_filter(y,options_.hp_filter);
else
elseif ~options_.hp_filter && options_.one_sided_hp_filter && ~options_.bandpass.indicator
error('disp_moments:: The one-sided HP filter is not yet available')
elseif ~options_.hp_filter && ~options_.one_sided_hp_filter && options_.bandpass.indicator
data_temp=dseries(y,'0q1');
data_temp=baxter_king_filter(data_temp,options_.bandpass.passband(1),options_.bandpass.passband(2),200);
y=data_temp.data;
elseif ~options_.hp_filter && ~options_.one_sided_hp_filter && ~options_.bandpass.indicator
y = bsxfun(@minus, y, m);
else
error('disp_moments:: You cannot use more than one filter at the same time')
end
s2 = mean(y.*y);

2
matlab/global_initialization.m
View File

@ -153,7 +153,7 @@ options_.impulse_responses.plot_threshold=1e-10;
options_.relative_irf = 0;
options_.ar = 5;
options_.hp_filter = 0;
options_.one_sided_hp_filter = 1600;
options_.one_sided_hp_filter = 0;
options_.hp_ngrid = 512;
options_.nodecomposition = 0;
options_.nomoments = 0;