A Frequency Selective Filter for Short-Length Time Series

Alessandra Iacobucci and Alain Noullez

Computational Economics, 2005, vol. 25, issue 1, 75-102

Abstract: 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. Copyright Springer Science + Business Media, Inc. 2005

Keywords: frequency domain filtering; spectral methods; HP filter; Baxter–King and Christiano–Fitzgerald bandpass filters; business cycles (search for similar items in EconPapers)
JEL-codes: C10 C14 E32 (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35)

Downloads: (external link)
http://hdl.handle.net/10.1007/s10614-005-6276-7 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: A Frequency Selective Filter for Short-Length Time Series (2005)
Working Paper: A Frequency Selective Filter for Short-Length Time Series (2004)
Working Paper: A Frequency-selective Filter for Short-Length Time Series (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:kap:compec:v:25:y:2005:i:1:p:75-102

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/10614/PS2

DOI: 10.1007/s10614-005-6276-7

Access Statistics for this article

Computational Economics is currently edited by Hans Amman

More articles in Computational Economics from Springer, Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().