Discrete Fourier Transform Filters as Business Cycle Extraction Tools: An Investigation of Cycle Extraction Properties and Applicability of �Gibbs� Effect

Melvin J. Hinich, John Foster () and Phillip Wild

No 357, Discussion Papers Series from University of Queensland, School of Economics

Abstract: The purpose of this article is to investigate the ability of an assortment of frequency domain bandpass filters proposed in the economics literature to extract a known periodicity. The specific bandpass filters investigated include a conventional Discrete Fourier Transform filter, together with the filter recently proposed in Iacobucci-Noullez (2004, 2005). We employ simulation methods whereby the above-mentioned filters are applied to artificial data in order to investigate their cycle extraction properties. We also investigate the implications and complications that may arise from the Gibbs Effect in practical settings that typically confront applied macroeconomists.

Date: 2008
New Economics Papers: this item is included in nep-ecm and nep-mac
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Persistent link: https://EconPapers.repec.org/RePEc:qld:uq2004:357

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