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The Band pass filter

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  • Lawrence J. Christiano
  • Terry J. Fitzgerald

Abstract

The "ideal" band-pass filter can be used to isolate the component of a time series that lies within a particular band of frequencies, but applying this filter requires a data set of infinite length. In practice, some sort of approximation is needed. Using projections, the authors derive approximations that are optimal when the time-series representations underlying the raw data have a unit root, or are stationary about a trend.

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Bibliographic Info

Paper provided by Federal Reserve Bank of Cleveland in its series Working Paper with number 9906.

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Date of creation: 1999
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Handle: RePEc:fip:fedcwp:9906

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Keywords: Time-series analysis;

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  8. Kydland, Finn E & Prescott, Edward C, 1977. "Rules Rather Than Discretion: The Inconsistency of Optimal Plans," Journal of Political Economy, University of Chicago Press, vol. 85(3), pages 473-91, June.
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  1. The long and short of the AIG bailout
    by Scott Condie in econosseur on 2009-01-08 23:19:13
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