Linear data transformations used in economics

Darrel Cohen

No 2001-59, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: The paper examines the properties of standard data transformations--such as growth rates and moving averages--used by applied economists. Because many resources are devoted to understanding the economic significance of incoming data by government and financial-market economists, for example, this paper considers data filters that do not drop recent observations, in contrast to the approximately "ideal" measures recently developed in the literature. Using frequency-domain techniques, it is established that moving averages of multi-period growth rates can attenuate the bias and phase shifts introduced by common data filters.

Keywords: Filters; (Mathematics) (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-pke
Date: Written 2001
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