[X,T] = bpass(X,Band,Range,...)
X
[ tseries ] - Band-pass filtered tseries object.
T
[ tseries ] - Estimated trend tseries object.
X
[ tseries ] - Input tseries object that will be filtered.
Range
[ numeric | Inf ] Date range on which the data will be filtered.
Band
[ numeric ] - Band of periodicities to be retained in the output data, Band = [LOW,HIGH]
.
'addTrend='
[ true
| false
] - Add the estimated linear time trend back to filtered output series if band
includes Inf.
'detrend='
[ true
| false
] - Remove an estimated time trend from the data before filtering.
'log='
[ true
| false
] - Logarithmise the data before filtering, de-logarithmise afterwards.
'method='
[ 'cf'
| 'hwfsf'
] - Type of band-pass filter: Christiano-Fitzgerald, or h-windowed frequency-selective filter.
'unitRoot='
[ true
| false
] - Assume unit root in the input data.
See help on tseries/trend
for other options available when 'detrend='
is set to true.
Christiano, L.J. and T.J.Fitzgerald (2003). The Band Pass Filter. International Economic Review, 44(2), 435--465.
Iacobucci, A. & A. Noullez (2005). A Frequency Selective Filter for Short-Length Time Series. Computational Economics, 25, 75--102.