Time Series exercise

This is probably a stupid question. I am trying to run the example code on the dynare manual pg 122, which shows the filtered series using the Baxter-King band pass filter.

My question is, is that example complete? I.e. do you just create a mod file with just those lines and run it through dynare? When I do so dynare crashes with the following error message:

ERROR: ts_model.mod: line 21, col 1 - line 28, col 0: syntax error, unexpected $end

Could anyone clarify this please?


No, this is actually Matlab code. You can attach this code to a regular mod-file (you may need to wrap it in a verbatim-block).

Try running

% Simulate a component model (stochastic trend, deterministic trend, and a % stationary autoregressive process). e = .2*randn(200,1); u = randn(200,1); stochastic_trend = cumsum(e); deterministic_trend = .1*transpose(1:200); x = zeros(200,1); for i=2:200 x(i) = .75*x(i-1) + e(i); end y = x + stochastic_trend + deterministic_trend; % Instantiates time series objects. ts0 = dseries(y,'1950Q1'); ts1 = dseries(x,'1950Q1'); % stationary component. % Apply the Baxter-King filter. ts2 = ts0.baxter_king_filter(); % Plot the filtered time series. plot(ts1(ts2.dates).data,'-k'); % Plot of the stationary component. hold on plot(ts2.data,'--r'); % Plot of the filtered y. hold off axis tight id = get(gca,'XTick'); set(gca,'XTickLabel',strings(ts0.dates(id)));
as a Matlab m-file

Thank you, that works!

I had tried running it as a matlab code using F9 first, but it wouldn’t run. I now realize it may have partly been because of a typo in the last line, which you corrected in your version.


should be


Thanks again.

The thing is that you need the dseries objects in your path. If you did not run Dynare before in your Matlab-session and have only the dynare/matlab-folder in your path, you need to run

before you can use dseries

Thank you