Band-Pass-Filter Excel-Add-In

Compute Band-Pass filtered time series with Excel.

File
BPass.xla

Installation
Download the add-in from the internet (www.web-reg.de). Extract the zip-file and declare BPass.xla as an add-in
(Tools->Add-Ins Manager ->Browse).

Uses
Der Band-Pass-Filter is a single command:
bpass(data as Range,pu as Integer,pl as Integer)
Timeseries is a vector or matrix of time series. The data have to be organized columnwise.
pl: minimum period of oscillation of desired component
pu: maximum period of oscillation of desired component (2<=pl<pu<infinity)
Quarterly data: pl=6, pu=32 returns component with periods between 1.5 and 8 yrs.
Monthly data: pl=2, pu=24 returns component with all periods less than 2 yrs.

bpass is an array-function. First select an empty range which is of the same dimension as the timeseries that should
be filtered. Then write =bpass(, then select the range that should be filtered, write a comma (or semicolon, depends on
your language settings in Windows) and then the value of pl and pu separated by a comma and a closing brace. At this
point, do not press Enter. Rather, hold down the Shift and the Ctrl Keys and then press Enter.
This program contains only the default filter recommended in Christiano and Fitzgerald. "The Band Pass Filter" by
Lawrence J. Christiano and Terry J. Fitzgerald (1999)
One Example is in this worksheet. Note that the results computed only if the Add-In ist installed

Further Notes
The BP-Filter Add-In 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.
annen@web-reg.de

Drift
pu
pl
Index
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45

0.1
12
24
Random-Walk
1.0875713405
2.1434442368
2.5381293196
3.773470483
4.0739357549
4.9022585653
5.8167271507
5.2271340437
4.9436314808
5.4242597881
4.9740724776
5.2182360811
5.6085113815
7.7092840259
8.4041961554
9.2929301159
7.2867493851
6.2054674706
4.8560819815
4.9545534536
4.387511094
3.8412775927
1.9825692688
1.234006738
1.02197051
2.8040791887
3.2447273247
3.4329071537
4.1104391898
4.6336871008
4.4675135477
2.9077791232
1.3870333905
2.7988426424
2.5994061619
3.5096935084
3.4002297613
5.2667540621
5.7017162055
6.4958019403
7.1311777947
8.228819156
9.6915842551
10.7262999164
11.2955469981

12
cycle component
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511

trend component
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511

10
8
6
4
2
0
0

50

45
40
35
30
25
20
15
10
5
0
0

50

46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96

11.8442776944
11.7969269032
11.1074885846
12.8887509206
13.9242635405
14.2735947894
14.4480002406
14.7944382428
14.4199167705
15.6233468529
16.6138359635
15.8101643397
16.9514991014
18.6583180551
18.9569571963
19.3313569436
19.5072990439
19.7110988372
20.7138154756
21.2205762887
22.0380699566
22.6738557798
23.6551979845
23.2880881024
24.4991523408
23.3707090561
23.4482156015
23.9004433237
23.6339450615
25.0578144911
23.6015626415
25.1353816513
25.1983341241
24.9967565287
25.4388307019
25.7858075831
25.9381323243
26.0928233247
24.9495371082
26.3942123581
28.2862904537
28.1058500058
28.4010151318
26.3141170581
25.318295974
25.268715075
25.6847815001
25.5003928773
25.7324084396
26.1803759655
27.1076019556

Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511

Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511

97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147

25.3043767187
26.3637501697
26.712062465
29.7080764997
28.575902459
29.5575671486
28.684541539
28.7062075426
29.0464091143
29.0182557239
28.9598297537
30.3026069065
31.6637305646
29.9628384658
30.024441577
30.298085737
31.2682244437
33.8776442363
33.2447302525
32.7743682099
33.2851262881
32.0909951847
33.5196520035
34.6452647334
33.9177399401
33.9819848384
33.6525507051
34.8368787985
35.1461921826
36.6129862337
36.3780896205
36.2969929766
37.6979352919
37.253159603
36.2613478492
35.9852891819
37.2888757044
36.6836710479
35.3477339139
34.1330035771
34.5532954832
34.7337580274
34.6096330113
33.2895424374
32.4160664239
33.2693135785
34.57754792
34.9211349867
34.2282423499
33.1818435333
31.7931805706

Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511

Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511

148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198

31.4569912573
31.3003661529
30.8176739815
31.9347921155
32.3819005064
31.0073857469
31.0105200131
29.4212082311
30.909349996
30.0133969097
30.5892046835
32.2855960301
31.1843193156
30.6194016421
29.2755224428
29.5471079403
30.4129999805
30.2415760046
29.751704666
28.3505606459
29.2273884967
27.5463242269
28.3628225679
29.2447044048
28.4682671227
29.420941946
29.5682465296
27.464462561
28.7130556591
28.9367713902
27.7061241671
28.8910747483
29.1711855946
28.1243916108
26.587132853
26.2482938867
25.5825747216
26.2477359629
25.2240507736
23.3521640301
22.0832761978
22.2123780175
20.7138322303
20.7747593126
21.2434252759
22.6104274252
21.9403474273
22.7013620938
21.9366073605
23.0262952894
21.8050333939

Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511

Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511

199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
226
227
228
229
230
231
232
233
234
235
236
237
238
239
240
241
242
243
244
245
246
247
248
249

22.9651928219
22.62639063
21.9413820467
21.6365351556
23.136699509
22.0262675186
22.6326126975
23.5400558843
23.7673781068
23.8346654551
23.6638307391
24.9543712497
25.0306950171
24.5517728744
23.2331144378
22.2075955245
23.318053284
24.1002870441
23.8533286223
24.833321971
23.3832132639
22.2173725728
21.7645551305
22.1231685588
21.766234301
22.060783645
24.2067319948
24.5336049866
23.8308887746
23.7547632136
25.0277344873
25.9620461631
25.6381225209
26.6936025838
25.6637767347
25.6690274453
26.9585306197
25.764803533
29.0903551143
29.6269281419
28.8062508756
28.3519610138
29.5520263395
30.5663332253
31.8274027587
32.9346898936
35.7424932013
34.3606288019
35.3933947491
38.5417073292
39.9260435773

Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511

Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511
Err:511

250

41.913855604

Err:511

Err:511

cycle component

50

100

150

200

250

trend component

50

100

150

200

250