Linear data transformations used in economics
AbstractThe paper examines the properties of standard data transformations--such as growth rates and moving averages--used by applied economists. Because many resources are devoted to understanding the economic significance of incoming data by government and financial-market economists, for example, this paper considers data filters that do not drop recent observations, in contrast to the approximately "ideal" measures recently developed in the literature. Using frequency-domain techniques, it is established that moving averages of multi-period growth rates can attenuate the bias and phase shifts introduced by common data filters.
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Bibliographic InfoPaper provided by Board of Governors of the Federal Reserve System (U.S.) in its series Finance and Economics Discussion Series with number 2001-59.
Date of creation: 2001
Date of revision:
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- Marianne Baxter & Robert G. King, 1995.
"Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series,"
NBER Working Papers
5022, National Bureau of Economic Research, Inc.
- Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November.
- Lawrence J. Christiano & Terry J. Fitzgerald, 1999.
"The Band pass filter,"
9906, Federal Reserve Bank of Cleveland.
- Ard den Reijer, 2006. "The Dutch business cycle: which indicators should we monitor?," DNB Working Papers 100, Netherlands Central Bank, Research Department.
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