Baxter-King Filter

The function smoothes a series using the Baxter-King Filter method. It is included into the Smoothing group.

The Baxter-King filter is a method of time series smoothing that is a modification of the Hodrick-Prescott filter but it provides wider options for removing a cycle component from a time series.

To apply the method

After the method is applied, a series with the name of the Baxter-King Method(<Series_Name>) type and containing calculation results is added to the data table for each of the selected series. For example:

Setting Up Calculation Options. The Parameters Tab

To set up calculation options, use the Parameters tab on the side panel.

To display the tab

Set method parameters:

• Cycle Period. Specify the value of the upper and the lower borders of the cycle period.

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

• Save to Calculated Series. Select the radio button the series name, which values will be contained in the output data series.

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

See also:

Calculation Methods | Smoothing |The Baxter-King Filter Method