diff --git a/matlab/@dynSeries/baxter_king_filter.m b/matlab/@dynSeries/baxter_king_filter.m
new file mode 100644
index 000000000..2d71c51bb
--- /dev/null
+++ b/matlab/@dynSeries/baxter_king_filter.m
@@ -0,0 +1,127 @@
+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.
+%
+% Adapted from the code provided by Baxter and King. 
+
+% Copyright (C) 2013 Dynare Team
+%
+% This file is part of Dynare.
+%
+% Dynare is free software: you can redistribute it and/or modify
+% it under the terms of the GNU General Public License as published by
+% the Free Software Foundation, either version 3 of the License, or
+% (at your option) any later version.
+%
+% Dynare is distributed in the hope that it will be useful,
+% but WITHOUT ANY WARRANTY; without even the implied warranty of
+% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+% GNU General Public License for more details.
+%
+% You should have received a copy of the GNU General Public License
+% along with Dynare.  If not, see <http://www.gnu.org/licenses/>.
+
+if nargin<4 || isempty(truncature)
+    K = 12;
+    if nargin<3 || isempty(low_frequency)
+        % Set default number of periods corresponding to the lowest frequency.
+        low_frequency = 32;
+        if nargin<2 || isempty(high_frequency)
+            % Set default number of periods corresponding to the highest frequency.
+            high_frequency = 6;
+            if nargin<1
+                error('dynSeries::baxter_king_filter: I need at least one argument')
+            end
+        else
+            if high_frequency<2
+                error('dynSeries::baxter_king_filter: Second argument must be greater than 2!')
+            end
+            if high_frequency>low_frequency
+                error('dynSeries::baxter_king_filter: Second argument must be smaller than the third argument!')
+            end
+        end
+    end
+end
+       
+% translate periods into frequencies.
+hf=2.0*pi/high_frequency;
+lf=2.0*pi/low_frequency;
+
+% Set weights for the band-pass filter's lag polynomial.
+weights = zeros(K+1,1); lpowers = transpose(1:K);
+weights(2:K+1) = (sin(lpowers*hf)-sin(lpowers*lf))./(lpowers*pi);
+weights(1) = (hf-lf)/pi;
+
+% Set the constraint on the sum of weights.
+if low_frequency>1000
+    % => low pass filter.
+    sum_of_weights_constraint = 1.0;
+else
+    sum_of_weights_constraint = 0.0;
+end
+
+% Compute the sum of weights.
+sum_of_weights = weights(1) + 2*sum(weights(2:K+1));
+
+% Correct the weights.
+weights = weights + (sum_of_weights_constraint - sum_of_weights)/(2*K+1);
+
+% Weights are symmetric!
+weights = [flipud(weights(2:K+1)); weights];
+
+tmp = zeros(size(ts.data));
+
+% Filtering step.
+for t = K+1:ts.nobs-K
+    tmp(t,:)  = weights'*ts.data(t-K:t+K,:);    
+end
+
+% Update dynSeries object.
+ts.data = tmp(K+1:end-K,:);
+ts.nobs = ts.nobs-2*K;
+ts.init = ts.init+K;
+ts.time = ts.init:ts.init+ts.nobs;
+
+%@test:1
+%$ plot_flag = 0; 
+%$
+%$ % Create a dataset.
+%$ e = .2*randn(200,1);
+%$ u = randn(200,1);
+%$ stochastic_trend = cumsum(e); 
+%$ deterministic_trend = .1*transpose(1:200);
+%$ x = zeros(200,1);
+%$ for i=2:200
+%$    x(i) = .75*x(i-1) + e(i);
+%$ end
+%$ y = x + stochastic_trend + deterministic_trend;
+%$
+%$ % Test the routine.
+%$ try
+%$     ts = dynSeries(y,'1950Q1');
+%$     ts = ts.baxter_king_filter();
+%$     xx = dynSeries(x,'1950Q1');
+%$     t(1) = 1;
+%$ catch
+%$     t(1) = 0;
+%$ end
+%$
+%$ if t(1)
+%$     t(2) = dyn_assert(ts.freq,4);
+%$     t(3) = dyn_assert(ts.init.freq,4);
+%$     t(4) = dyn_assert(ts.init.time,[1953, 1]);
+%$     t(5) = dyn_assert(ts.vobs,1);
+%$     t(6) = dyn_assert(ts.nobs,176);
+%$ end
+%$
+%$ % Show results
+%$ if plot_flag
+%$     plot(xx(ts.time).data,'-k');
+%$     hold on
+%$     plot(ts.data,'--r');
+%$     hold off
+%$     axis tight
+%$ end
+%$
+%$ T = all(t);
+%@eof:1
\ No newline at end of file
diff --git a/matlab/@dynSeries/subsref.m b/matlab/@dynSeries/subsref.m
index 6b0234d27..e55471b68 100644
--- a/matlab/@dynSeries/subsref.m
+++ b/matlab/@dynSeries/subsref.m
@@ -90,6 +90,18 @@ switch S(1).type
         else
             B = feval(S(1).subs,A);
         end
+      case 'baxter_king_filter'
+        if length(S)>1 && isequal(S(2).type,'()')
+            if isempty(S(2).subs)
+                B = feval(S(1).subs,A);
+                S = shiftS(S);
+            else
+                B = feval(S(1).subs,A,S(2).subs{1})
+                S = shiftS(S);
+            end
+        else
+            B = feval(S(1).subs,A);
+        end
       case 'save'                                                        % Save dynSeries object on disk (default is a csv file).
         B = NaN;
         if isequal(length(S),2)