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Discrete Fourier Transform Filters: Cycle Extraction And Gibbs Effect Considerations

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Author Info
Hinich, Melvin J.
Foster, John
Wild, Phillip

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Abstract

The purpose of this note is to analyze the capability of bandpass filters to extract a known periodicity. The specific bandpass filters considered are a conventional discrete Fourier transform (DFT) filter and the filter recently proposed by Iacobucci and Noullez. We employ simulation methods to investigate cycle extraction properties. We also examine the implications arising from the Gibbs effect in practical settings that typically confront applied macroeconomists

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File URL: http://journals.cambridge.org/abstract_S1365100509080237
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Publisher Info
Article provided by Cambridge University Press in its journal Macroeconomic Dynamics.

Volume (Year): 13 (2009)
Issue (Month): 04 (September)
Pages: 523-534
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Handle: RePEc:cup:macdyn:v:13:y:2009:i:04:p:523-534_08

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This page was last updated on 2009-12-9.

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