IDEOLOG: A Program for Filtering Econometric Data - A Synopsis of Alternative Methods
An account is given of various filtering procedures that have been implemented in a computer program, which can be used in analysing econometric time series. The program provides some new filtering procedures that operate primarily in the frequency domain. Their advantage is that they are able to achieve clear separations of components of the data that reside in adjacent frequency bands in a way that the conventional time-domain methods cannot. Several procedures that operate exclusively within the time domain have also been implemented in the program. Amongst these are the bandpass filters of Baxter and King and of Christiano and Fitzgerald, which have been used in estimating business cycles. The Henderson filter, the Butterworth filter and the Leser or Hodrick–Prescott filter are also implemented. These are also described in this paper. Econometric filtering procedures must be able to cope with the trends that are typical of economic time series. If a trended data sequence has been reduced to stationarity by differencing prior to its filtering, then the filtered sequence will need to be re-inflated. This can be achieved within the time domain via the summation operator, which is the inverse of the difference operator. The effects of the differencing can also be reversed within the frequency domain by recourse to the frequency-response function of the summation operator.
|Date of creation:||Jun 2008|
|Date of revision:|
|Contact details of provider:|| Postal: Department of Economics University of Leicester, University Road. Leicester. LE1 7RH. UK|
Phone: +44 (0)116 252 2887
Fax: +44 (0)116 252 2908
Web page: http://www2.le.ac.uk/departments/economics
More information through EDIRC
|Order Information:|| Web: http://www2.le.ac.uk/departments/economics/research/discussion-papers Email: |
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,"
9906, Federal Reserve Bank of Cleveland.
- Pollock, D.S.G., 2007. "Wiener Kolmogorov Filtering, Frequency-Selective Filtering, And Polynomial Regression," Econometric Theory, Cambridge University Press, vol. 23(01), pages 71-88, February.
- Pollock, D. S. G., 2000. "Trend estimation and de-trending via rational square-wave filters," Journal of Econometrics, Elsevier, vol. 99(2), pages 317-334, December.
- D.S.G. Pollock, 2007. "Investigating Economic Trends And Cycles," Discussion Papers in Economics 07/17, Department of Economics, University of Leicester, revised Apr 2008.
- Quenneville, Benoit & Ladiray, Dominique & Lefrancois, Bernard, 2003. "A note on Musgrave asymmetrical trend-cycle filters," International Journal of Forecasting, Elsevier, vol. 19(4), pages 727-734.
When requesting a correction, please mention this item's handle: RePEc:lec:leecon:08/21. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mrs. Alexandra Mazzuoccolo)
If references are entirely missing, you can add them using this form.