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|j |�J Christiano-Fitzgerald 3 Christiano-Fitzgerald
Christiano and Fitzgerald (1999) propose a generalization of the Baxter-King ﬁlter. The
advocate choosing a ﬁnite approximation to the ideal ﬁlter by solving
min E [(Bt (L)xt − B � (L)xt )2 ]
Bt () where xt is some chosen process. Bt (L) is allowed to use all data available in your sample
of length T . Note that Bt (L) will generally not b e symmetric and will change with t. As
shown in problem set 1, this is equivalent to solving,
|Bt (ei� ) − B � (ei� )|2 Sx (� )d�
Bt () 2ω −�
where Sx (� ) is the spectrum of xt . The Baxter-King ﬁlter can b e considered a special case
of this approach where xt is white noise, a...
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This document was uploaded on 03/23/2014 for the course ECON 14.384 at MIT.
- Fall '08