Skip to content

Add bandpass filter

Adding a bandpass-filter as in Christiano/Motto/Rostagno seems straightforward.

One issue is options_.hp_ngrid which specifies the number of points for the Inverse Fourier Transformation. With a different filter, this option would not be specific to the HP filter anymore. I would suggest renaming it to ifft_points and deleting the old option. Obviously, this would break backward compatibility.

@houtanb Could you please give me an option of stoch_simul named bandpass_filter It should be mutually exclusive with hp_filter. If specified as

stoch_simul(bandpass_filter)

it should map into options_.bandpass.indicator=1. If specified as

stoch_simul(bandpass_filter=[lowerbound upperbound])

it should map into

options_.bandpass.indicator=1
options_.bandpass.passband=[lowerbound upperbound]

Default values are

options_.bandpass.indicator=0;
options_.bandpass.passband=[6 32];