The last ten years have witnessed an increasing interest of the econometrics community in spectral theory. In fact, decomposing the series evolution in periodic contributions allows a more insightful view of its structure and on its cyclical behavior at different time scales. In this paper I concisely broach the issues of cross-spectral analysis and filtering, dwelling in particular upon the windowed filter (Iacobucci and Noullez 2002). In order to show the usefulness of these tools, I present an application to real data, namely to US unemployment and inflation. I show how cross spectral analysis and filtering can be used to find correlation between them (i.e. the Phillips curve) in some specific frequency bands, even if it does not appear in raw data.
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Paper provided by Observatoire Francais des Conjonctures Economiques (OFCE) in its series Documents de Travail de l'OFCE with number
2003-07.
Length: Date of creation: 2003 Date of revision: Publication status: Forthcoming in "New Tools for Quantitative Analysis of Economic Dynamics" Handle: RePEc:fce:doctra:0307
Find related papers by JEL classification: C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Semiparametric and Nonparametric Methods E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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Lawrence J. Christiano & Terry J. Fitzgerald, 1999.
"The Band Pass Filter,"
NBER Working Papers
7257, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Lawrence J. Christiano & Terry J. Fitzgerald, 1999.
"The Band pass filter,"
Working Paper
9906, Federal Reserve Bank of Cleveland.
[Downloadable!]
Lawrence J. Christiano & Terry J. Fitzgerald, 2003.
"The Band Pass Filter,"
International Economic Review,
Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 44(2), pages 435-465, 05.
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