The paper explores and illustrates some of the typical trade-offs which arise in designing filters for the measurement of trends and cycles in economic time series, focusing, in particular, on the fundamental trade-off between the reliability of the estimates and the magnitude of the revisions as new observations become available. This assessment is available through a novel model based approach, according to which an important class of highpass and bandpass filters, encompassing the Hodrick-Prescott filter, are adapted to the particular time series under investigation. Via a suitable decomposition of the innovation process, it is shown that any linear time series with ARIMA representation can be broken down into orthogonal trend and cycle components, for which the class of filters is optimal. The main results then follow from Wiener-Kolmogorov signal extraction theory, whereas exact finite sample inferences are provided by the Kalman filter and smoother for the relevant state space representation of the decomposition.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by Tor Vergata University, CEIS in its series CEIS Research Paper with number
84.
Length: 33 Date of creation: 31 May 2006 Date of revision: Handle: RePEc:rtv:ceisrp:84
Contact details of provider: Postal: CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma Phone: +39062040234 Fax: +39062020687 Email: Web page: http://www.ceistorvergata.it More information through EDIRC
Order Information: Postal: CEIS - Centre for Economic and International Studies - Faculty of Economics - University of Rome "Tor Vergata" - Via Columbia, 2 00133 Roma Email: Web: http://www.ceistorvergata.it
For technical questions regarding this item, or to correct its listing, contact: (Marcello Di Biagio).
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, 1999.
"The Band pass filter,"
Working Paper
9906, Federal Reserve Bank of Cleveland.
[Downloadable!]
Other versions:
Lawrence J. Christiano & Terry J. Fitzgerald, 1999.
"The Band Pass Filter,"
NBER Working Papers
7257, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
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.
[Downloadable!] (restricted)
James H. Stock & Mark W. Watson, 2003.
"Has the Business Cycle Changed and Why?,"
NBER Chapters,
in: NBER Macroeconomics Annual 2002, Volume 17, pages 159-230
National Bureau of Economic Research, Inc.
[Downloadable!]
Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2003.
"Dating the Euro Area Business Cycle,"
Working Papers
237, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
[Downloadable!]
Cited by: (explanations, 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.)
Did you know? You can import bibliographic info in various formats into you bibliographic tool, or just into your word processor. See under "publisher info" on each abstract page.