A Frequency-selective Filter for Short-Length Time Series
AbstractAn effective and easy-to-implement frequency filter is designed by convolving a Hamming window with the ideal rectangular filter response function. Three other filters, Hodrick-Prescott, Baxter-King, and Christiano-Fitzgerald, are critically reviewed. The behavior of the Hamming-windowed filter is compared to the others through their frequency responses and their application to both an artificial, known-structure series and to the Euro zone quarterly GDP series. The Hamming-windowed filter has almost no leakage and is thus much better than the others in eliminating high-frequency components and has a significantly flatter bandpass response. Its low-frequency behavior demonstrates better removal of undesired long-term components. These improvements are particularly evident when working with short-length time series, such as are common in macroeconomics. The proposed filter is stationary, symmetric, uses all the information contained in the raw data, and stationarizes series integrated up to order two. It thus proves to be a good candidate for extracting frequency-defined business-cycle components
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 128.
Date of creation: 11 Aug 2004
Date of revision:
spectral analysis; bandpass filtering;
Other versions of this item:
- Alessandra Iacobucci & Alain Noullez, 2005. "A Frequency Selective Filter for Short-Length Time Series," Computational Economics, Society for Computational Economics, vol. 25(1), pages 75-102, February.
- Alessandra Iacobucci & Alain Noullez, 2004. "A Frequency Selective Filter for Short-Length Time Series," Documents de Travail de l'OFCE 2004-05, Observatoire Francais des Conjonctures Economiques (OFCE).
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-08-16 (All new papers)
- NEP-ECM-2004-08-16 (Econometrics)
- NEP-ETS-2004-08-16 (Econometric Time Series)
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