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The Band pass filter Author info | Abstract | Publisher info | Download info | Related research | Statistics Lawrence J. Christiano
Terry J. Fitzgerald
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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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Paper provided by Federal Reserve Bank of Cleveland in its series Working Paper with number
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Date of creation: 1999Date of revision:
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Keywords: Time-series analysis ; Other versions of this item:
Article 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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