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mini-kep / user-charts

Chart macroeconomic time series from mini-kep dataset
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Prescot time series comovement table #6

Open epogrebnyak opened 6 years ago

epogrebnyak commented 6 years ago

Replicate correlations from Prescot artice, see https://github.com/epogrebnyak/cmf-comovement-tables.

epogrebnyak commented 6 years ago

Our current progress is here: https://github.com/mini-kep/user-charts/blob/master/cases/hp-filter/hp_filter.ipynb

Basically, we filtered time series, but have not made covariances with lagged variables yet.