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Filter-Design and Model-Based Analysis of Economic Cycles

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Author Info
Diego J. Pedregal () (Universidad de Castilla-La Mancha)
Abstract

Two possibilities of analysis of economic cycles are studied in this document. Firstly, filter-design approaches consisting of the extraction of the information content of certain signals between two specific frequencies, as well as below or above certain frequencies. Secondly, model-based approaches, in which the specific properties of cycles are left to automatic estimation procedures in most cases. This document highlights and takes advantage of the relation between both approaches. In particular, the cycle is defined as a given frequency band as is typical of the filter-design literature, but the information is effectively extracted by a model-based approach. The procedure is shown working in practice on two typical examples.

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Paper provided by Centro de Estudios Andaluces in its series Economic Working Papers at Centro de Estudios Andaluces with number E2003/13.

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Length: 44 pages
Date of creation: 2003
Date of revision:
Handle: RePEc:cea:doctra:e2003_13

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Related research
Keywords: Kalman Filter; Fixed Interval Smoother; Frequency Domain; Unobserved Components Models; State Space models.;

Find related papers by JEL classification:
C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

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References listed on IDEAS
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  1. Timothy Cogley & James M. Nason, 1993. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research," Working Papers in Applied Economic Theory 93-01, Federal Reserve Bank of San Francisco.
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  2. Gomez, Victor, 2001. "The Use of Butterworth Filters for Trend and Cycle Estimation in Economic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 365-73, July.
  3. Harvey, A.C. & Trimbur, T.M., 2001. "General Model-based Filters for Extracting Cycles and Trends in Economic Time Series," Cambridge Working Papers in Economics 0113, Faculty of Economics, University of Cambridge. [Downloadable!]
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