statsmodels.tsa.filters.bk_filter.bkfilter

statsmodels.tsa.filters.bk_filter.bkfilter(x, low=6, high=32, K=12)[source]

Filter a time series using the Baxter-King bandpass filter.

Parameters:
xarray_like

A 1 or 2d ndarray. If 2d, variables are assumed to be in columns.

lowfloat

Minimum period for oscillations, ie., Baxter and King suggest that the Burns-Mitchell U.S. business cycle has 6 for quarterly data and 1.5 for annual data.

highfloat

Maximum period for oscillations BK suggest that the U.S. business cycle has 32 for quarterly data and 8 for annual data.

Kint

Lead-lag length of the filter. Baxter and King propose a truncation length of 12 for quarterly data and 3 for annual data.

Returns:
ndarray

The cyclical component of x.

See also

statsmodels.tsa.filters.cf_filter.cffilter

The Christiano Fitzgerald asymmetric, random walk filter.

statsmodels.tsa.filters.bk_filter.hpfilter

Hodrick-Prescott filter.

statsmodels.tsa.seasonal.seasonal_decompose

Decompose a time series using moving averages.

statsmodels.tsa.seasonal.STL

Season-Trend decomposition using LOESS.

Notes

Returns a centered weighted moving average of the original series. Where the weights a[j] are computed

a[j] = b[j] + theta, for j = 0, +/-1, +/-2, ... +/- K
b[0] = (omega_2 - omega_1)/pi
b[j] = 1/(pi*j)(sin(omega_2*j)-sin(omega_1*j), for j = +/-1, +/-2,...

and theta is a normalizing constant

theta = -sum(b)/(2K+1)

See the notebook Time Series Filters for an overview.

References

Baxter, M. and R. G. King. “Measuring Business Cycles: Approximate

Band-Pass Filters for Economic Time Series.” Review of Economics and Statistics, 1999, 81(4), 575-593.

Examples

>>> import statsmodels.api as sm
>>> import pandas as pd
>>> dta = sm.datasets.macrodata.load_pandas().data
>>> index = pd.DatetimeIndex(start='1959Q1', end='2009Q4', freq='Q')
>>> dta.set_index(index, inplace=True)
>>> cycles = sm.tsa.filters.bkfilter(dta[['realinv']], 6, 24, 12)
>>> import matplotlib.pyplot as plt
>>> fig, ax = plt.subplots()
>>> cycles.plot(ax=ax, style=['r--', 'b-'])
>>> plt.show()

(Source code, png, hires.png, pdf)

../_images/bkf_plot.png

Last update: Jun 14, 2024