Interpretation of the Effects of Filtering Integrated Time Series
AbstractWe resort to a rigorous definition of spectrum of an integrated time series in order to characterise the implications of applying linear filters to such series. We conclude that in the presence of integrated series the transfer function of the filters has exactly the same interpretation as in the covariance stationary case, contrary to what many authors suggest. This disagreement leads to different conclusions regarding the link of the original fluctuations with the transformed fluctuations in the time series data, embodied in various unjustified criticisms to the application of detrending filters. Despite this, and given the frequency domain characteristics of filtered macroeconomic integrated series, we acknowledge that the choice of a particular detrending filter is far from being a neutral task.
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Bibliographic InfoPaper provided by Banco de Portugal, Economics and Research Department in its series Working Papers with number w200712.
Date of creation: 2007
Date of revision:
Other versions of this item:
- Valle e Azevedo, João, 2007. "Interpretation of the Effects of Filtering Integrated Time Series," MPRA Paper 6574, University Library of Munich, Germany.
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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