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[times-series filters package]

Many people have downloaded my Hodrick Prescott Add-In. In my opinion is the Hodrick Prescott filter not the best solution.

With my new Add-In you have the choice in selecting one of the most popular time series filters:

  • Hodrick Prescott Filter

  • Baxter King Filter

  • asymmetric Bandpass-Filter

  • symmetric Bandpass-Filter

  • symmetric Bandpass-Filter with fixed length

  • Trigeometric Regression



    This program is not only an Excel Add-In. Only the form is written in VBA. The main functions are in a DLL. I also included a C-Header file. This Dll lets you add the time series filters package to your programs quickly and easily.

    [related links]

    All links will be open in a new window

    The Band Pass Filter, by Christiano & Fitzgerald. Original manuscript. (PDF)

    wikipedia A description of the Hodrick Prescott filter at wikipedia. (HTML)


    Links to other sites from these pages are for information only and Kurt Annen accepts no responsibility or liability for access to, or the material on, any site which is linked from or to this site.

    screenshot of bp-filter add-in


    for downloading click on the filename

    File: setup_web-reg_fp.exe
    Filesize: 581 kb

    The time-series filters package was written by Kurt Annen. This program is freeware. But I would highly appreciate if you could give me credit for my work by providing me with information about possible open positions as an economist. My focus as an economist is on econometrics and dynamic macroeconomics. If you like the program, please send me an email.

    [time-series filters package add-in]
    © 2005 Kurt Annen