Christiano Fitzgerald asymmetric, random walk filter
Parameters: | X : array-like
low : float
high : float
drift : bool
|
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Returns: | cycle : array
trend : array
|
Examples
>>> import statsmodels.api as sm
>>> import pandas as pd
>>> dta = sm.datasets.macrodata.load_pandas().data
>>> dates = sm.tsa.datetools.dates_from_range('1959Q1', '2009Q3')
>>> index = pd.DatetimeIndex(dates)
>>> dta.set_index(index, inplace=True)
>>> cf_cycles, cf_trend = sm.tsa.filters.cffilter(dta[["infl", "unemp"]])
>>> import matplotlib.pyplot as plt
>>> fig, ax = plt.subplots()
>>> cf_cycles.plot(ax=ax, style=['r--', 'b-'])
>>> plt.show()
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