Baxter-King Filter

The Baxter-King filter is a method of smoothing a time series, that is a modification of the Hodrick-Prescott filter filter with wider features for excluding the cyclic component from a time series.

NOTE. In the Baxter-King Filter method, the input variable is also used as an output variable. To create an equation, set the variable binding to itself.

To set up method parameters, use the Equation side panel tab.

To display the tab

Method parameters:

• Cycle Period. Specify values of upper and lower limits of cycle period.

• Lead/Lag. Specify the range, at which the moving average is calculated.

• Save to Variable. Select a component, which values are saved to the output variable after method calculation.

Values of lag, lead and cycle period limits are set in accordance with calendar frequency of the series. Default values:

See also:

Working with Equations | The The Baxter-King Filter Method | Time Series Analysis: The Baxter-King Filter | IModelling.Bpf