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A Frequency Selective Filter for Short-Length Time Series

Iacobucci, Alessandra; Noullez, Alain (2005), A Frequency Selective Filter for Short-Length Time Series, Computational Economics, 25, 1-2, p. 75-1002. http://dx.doi.org/10.1007/s10614-005-6276-7

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Type
Article accepté pour publication ou publié
Date
2005
Journal name
Computational Economics
Volume
25
Number
1-2
Publisher
Springer
Pages
75-1002
Publication identifier
http://dx.doi.org/10.1007/s10614-005-6276-7
Metadata
Show full item record
Author(s)
Iacobucci, Alessandra cc
Noullez, Alain cc
Abstract (EN)
An effective and easy-to-implement frequency filter is proposed, obtained by convolving a raised-cosine window with the ideal rectangular filter response function. Three other filters, Hodrick–Prescott, Baxter–King, and Christiano–Fitzgerald, are thoroughly reviewed. A bandpass version of the Hodrick–Prescott filter is also introduced and used. The behavior of the windowed filter is compared to the others through their frequency responses and by applying them to both quarterly and monthly artificial, known-structure series and real macroeconomic data. The windowed filter has almost no leakage and is better than the others at eliminating high-frequency components. Its response in the passband is significantly flatter, and its behavior at low frequencies ensures a better removal of undesired long-term components. These improvements are particularly evident when working with short-length time series, which are common in macroeconomics. The proposed filter is stationary and symmetric, therefore, it induces no phase-shift. It uses all the information contained in the input data and stationarizes series integrated up to order two. It thus proves to be a good candidate for extracting frequency-defined series components.
Subjects / Keywords
business cycles; spectral methods; Baxter–King and Christiano–Fitzgerald bandpass filters; frequency domain filtering; HP filter
JEL
C10 - General
C14 - Semiparametric and Nonparametric Methods: General
E32 - Business Fluctuations; Cycles

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