In the following article the ideal band-pass filter is derived and explained in order to subsequently analyze the approximations by Baxter and King (1999) and Christiano and Fitzgerald (2003). It can be shown that the filters by Baxter and King and Christiano and Fitzgerald primarily differ in two assumptions, namely in the assumption about the spectral density of the analyzed variables as well as in the assumption about the symmetry of the weights of the band-pass filter. In the article at hand it is shown that the different assumptions lead to characteristics for the two filters which distinguish in three points: in the accuracy of the approximation with respect to the length of the cycles considered, in the amount of calculable data points towards the ends of the data series, as well as in the removal of the trend of the original time series.
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number
2049.
Find related papers by JEL classification: C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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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Lawrence J. Christiano & Terry J. Fitzgerald, 1999.
"The Band Pass Filter,"
NBER Working Papers
7257, National Bureau of Economic Research, Inc.
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Lawrence J. Christiano & Terry J. Fitzgerald, 1999.
"The Band pass filter,"
Working Paper
9906, Federal Reserve Bank of Cleveland.
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