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Discrete Fourier Transform Filters as Business Cycle Extraction Tools: An Investigation of Cycle Extraction Properties and Applicability of ‘Gibbs’ Effect

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The purpose of this article is to investigate the ability of an assortment of frequency domain bandpass filters proposed in the economics literature to extract a known periodicity. The specific bandpass filters investigated include a conventional Discrete Fourier Transform filter, together with the filter recently proposed in Iacobucci-Noullez (2004, 2005). We employ simulation methods whereby the above-mentioned filters are applied to artificial data in order to investigate their cycle extraction properties. We also investigate the implications and complications that may arise from the Gibbs Effect in practical settings that typically confront applied macroeconomists.

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File URL: http://www.uq.edu.au/economics/abstract/357.pdf
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Paper provided by School of Economics, University of Queensland, Australia in its series Discussion Papers Series with number 357.

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Date of creation: 2008
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Handle: RePEc:qld:uq2004:357

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  1. Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
  2. Melvin J. Hinich & John Foster & Philip Wild, 2008. "An Investigation of the Cycle Extraction Properties of Several Bandpass Filters Used to Identify Business Cycles," Discussion Papers Series 358, School of Economics, University of Queensland, Australia.
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