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escheffel / pymaclab

Dynamic Stochastic Equilibrium Models (DSGE) in Python
www.pymaclab.com
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At the moment the BK filter is the only one not returning a trend #30

Open escheffel opened 12 years ago

escheffel commented 12 years ago

May want to address this some time soon, but is not so easy to do

escheffel commented 12 years ago

This has been fixed as of commit a69e016e2f9e172c24f676f594fa0fc3e01fc85d. But bear in mind that the BK filter uses a moving average process which cuts of k values at beginning and end of series. This is then also reflected in those missing values in the returned trend.

escheffel commented 12 years ago

Might have to double-check this. The returned graph looks like the trend but the scaling is off and it is also too smooth (given that the cycle is already so smooth).