Add bandpass filtering to simulated moments
Also takes precautions for future implementation of one-sided hp filtertime-shift
parent
a4b04ca9b4
commit
9459ff5d8f
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@ -42,10 +42,18 @@ y = y(ivar,options_.drop+1:end)';
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m = mean(y);
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m = mean(y);
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if options_.hp_filter
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if options_.hp_filter && ~options.one_sided_hp_filter && ~options_.bandpass.indicator
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[hptrend,y] = sample_hp_filter(y,options_.hp_filter);
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[hptrend,y] = sample_hp_filter(y,options_.hp_filter);
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else
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elseif ~options_.hp_filter && options_.one_sided_hp_filter && ~options_.bandpass.indicator
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error('disp_moments:: The one-sided HP filter is not yet available')
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elseif ~options_.hp_filter && ~options_.one_sided_hp_filter && options_.bandpass.indicator
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data_temp=dseries(y,'0q1');
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data_temp=baxter_king_filter(data_temp,options_.bandpass.passband(1),options_.bandpass.passband(2),200);
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y=data_temp.data;
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elseif ~options_.hp_filter && ~options_.one_sided_hp_filter && ~options_.bandpass.indicator
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y = bsxfun(@minus, y, m);
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y = bsxfun(@minus, y, m);
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else
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error('disp_moments:: You cannot use more than one filter at the same time')
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end
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end
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s2 = mean(y.*y);
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s2 = mean(y.*y);
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@ -153,7 +153,7 @@ options_.impulse_responses.plot_threshold=1e-10;
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options_.relative_irf = 0;
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options_.relative_irf = 0;
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options_.ar = 5;
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options_.ar = 5;
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options_.hp_filter = 0;
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options_.hp_filter = 0;
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options_.one_sided_hp_filter = 1600;
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options_.one_sided_hp_filter = 0;
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options_.hp_ngrid = 512;
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options_.hp_ngrid = 512;
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options_.nodecomposition = 0;
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options_.nodecomposition = 0;
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options_.nomoments = 0;
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options_.nomoments = 0;
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