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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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Find related papers by JEL classification:

• E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
• C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

This paper has been announced in the following NEP Reports:

• NEP-ALL-1999-09-09 (All new papers)
• NEP-DGE-1999-09-09 (Dynamic General Equilibrium)
• NEP-ECM-1999-09-09 (Econometrics)

References

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1. The long and short of the AIG bailout
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