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Spectral Analysis for Economic Time Series

The last ten years have witnessed an increasing interest of the econometrics community in spectral theory. In fact, decomposing the series evolution in periodic contributions allows a more insightful view of its structure and on its cyclical behavior at different time scales. In this paper I concisely broach the issues of cross-spectral analysis and filtering, dwelling in particular upon the windowed filter (Iacobucci and Noullez 2002). In order to show the usefulness of these tools, I present an application to real data, namely to US unemployment and inflation. I show how cross spectral analysis and filtering can be used to find correlation between them (i.e. the Phillips curve) in some specific frequency bands, even if it does not appear in raw data.

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Paper provided by Observatoire Francais des Conjonctures Economiques (OFCE) in its series Documents de Travail de l'OFCE with number 2003-07.

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Date of creation: 2003
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Publication status: Forthcoming in "New Tools for Quantitative Analysis of Economic Dynamics"
Handle: RePEc:fce:doctra:0307
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  1. Andrew Haldane & Danny Quah, 2000. "UK Philips Curves and Monetary Policy," CEP Discussion Papers dp0444, Centre for Economic Performance, LSE.
  2. 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.
  3. 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.
  4. Christian J. Murray, 2003. "Cyclical Properties of Baxter-King Filtered Time Series," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 472-476, May.
  5. Granger, C W J, 1969. "Investigating Causal Relations by Econometric Models and Cross-Spectral Methods," Econometrica, Econometric Society, vol. 37(3), pages 424-38, July.
  6. Luca Benati, 2001. "Band-pass filtering, cointegration, and business cycle analysis," Bank of England working papers 142, Bank of England.
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