EL FILTRO BAXTER - KING, METODOLOGÍA Y APLICACIONES
Palavras-chave:
Baxter-King, ciclos económicos, tendencia, Hodrick-Prescott, series.Resumo
La presente nota tiene como objetivo exponer de manera breve la metodología del filtro Baxter-King como herramienta útil para el análisis de ciclos económicos y de extracción de tendencia. También se repasan las propiedades matemáticas del filtro Hodrick-Prescott, para comprender en qué aspectos difiere del Baxter-King. Como aplicación del filtro, se analizan series con periodicidad mensual (IMAE, IPPI, Base Monetaria) trimestral (PIB) y anual (PIB e Importaciones) y se concluye que a pesar de que no difieren mucho sus resultados, el segundo es superior al Hodrick-Prescott por cuanto permite que el investigador determine el tipo de información que desea aislar de las series.
Referências
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Baxter, M. and King, R. (1995) Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series. NBER Working Paper Series. WP No. 5022. Cambridge, Massachusetts.
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Monge, A. and Hall, L. (1999) Aggregate fluctuations and co-movements in Central America and Mexico. Taller Macroeconomic Interdependence in Central America and Mexico, presentado el 27 de abril de 1999, en la Universidad de Costa Rica.
Muñoz, E. y Kikut, A. (1994)El Filtro de Hodrick y Prescott: una técnica para la extracción de la tendencia de la serie. DIE-NT-03-94/ R. Banco Central de Costa Rica.
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