A Frequency-selective Filter for Short-Length Time SeriesAlain Noullez and Alessandra Iacobucci () No 128, Computing in Economics and Finance 2004 from Society for Computational Economics Abstract: An effective and easy-to-implement frequency filter is designed by convolving a Hamming window with the ideal rectangular filter response function. Three other filters, Hodrick-Prescott, Baxter-King, and Christiano-Fitzgerald, are critically reviewed. The behavior of the Hamming-windowed filter is compared to the others through their frequency responses and their application to both an artificial, known-structure series and to the Euro zone quarterly GDP series. The Hamming-windowed filter has almost no leakage and is thus much better than the others in eliminating high-frequency components and has a significantly flatter bandpass response. Its low-frequency behavior demonstrates better removal of undesired long-term components. These improvements are particularly evident when working with short-length time series, such as are common in macroeconomics. The proposed filter is stationary, symmetric, uses all the information contained in the raw data, and stationarizes series integrated up to order two. It thus proves to be a good candidate for extracting frequency-defined business-cycle components Keywords: spectral analysis; bandpass filtering (search for similar items in EconPapers) Downloads: (external link) Related works: Access Statistics for this paper More papers in Computing in Economics and Finance 2004 from Society for Computational Economics |
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