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.
|Date of creation:||2003|
|Date of revision:|
|Publication status:||Forthcoming in "New Tools for Quantitative Analysis of Economic Dynamics"|
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- Luca Benati, 2001. "Band-pass filtering, cointegration, and business cycle analysis," Bank of England working papers 142, Bank of England.
- Lawrence J. Christiano & Terry J. Fitzgerald, 1999.
"The Band Pass Filter,"
NBER Working Papers
7257, National Bureau of Economic Research, Inc.
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- Haldane, Andrew & Quah, Danny, 1999.
"UK Phillips curves and monetary policy,"
Journal of Monetary Economics,
Elsevier, vol. 44(2), pages 259-278, October.
- Robert J. Hodrick & Edward Prescott, 1981.
"Post-War U.S. Business Cycles: An Empirical Investigation,"
451, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
- 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.
- 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.
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