RATS program to calculate business cycle statistics and their standard errors"
This RATS program calculates the standard set of business cycle statistics including
ratios of standard deviations, autocorrelations and crosscorrelations.
The user can choose from a variety of
detrending methods such as (1) the Hodrick-Prescott filter,
(2) the Baxter-King filter, and (3) the first difference filter.
To calculate standard errors, the readercan choose between the VARHAC procedure proposed
in Den Haan and
Levin (1994), and the optimal bandwidth procedure from Newey and
"cycles.rat" is an example program. The program is very user
friendly. The program has a
"parameter" section and a "data" section. For most purposes, these are the only sections that
the reader would ever have to change. "cycles.dat" is the data file that is being used in this