IRIS Toolbox Reference Manual

## bpass

Band-pass filter

#### Syntax

    [X,T] = bpass(X,Band,Range,...)

#### Output arguments

- `X` [ tseries ] - Band-pass filtered tseries object.

- `T` [ tseries ] - Estimated trend tseries object.

#### Input arguments

- `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]`.

#### Options

- `'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.

#### Description

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.

#### Example

IRIS Toolbox. Copyright © 2007—2013 Jaromir Benes.