A Comparative Evaluation of Some DSP Filters vis-à-vis Commonly Used Economic Filters

Dilip Nachane () and Aditi Chaubal
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Dilip Nachane: IGIDR

Journal of Quantitative Economics, 2022, vol. 20, issue 1, No 9, 190 pages

Abstract: Abstract Economists have traditionally been interested in the problem of separating trend, cyclical and seasonal components in observed data series. In recent years, this interest has been reflected in an increasing use of band-pass filtering to define and extract business cycles in macroeconomic time series. However, there is an extensive class of filters in the field of DSP (digital signal processing), which has virtually escaped the attention of economists. The aim of this paper is two-fold firstly, to discuss the properties of some of the more promising filters in this class and secondly to evaluate the relative performance of the DSP band-pass filters vis-à-vis two band-pass filters particularly popular in the economics literature viz. the Baxter-King and Christiano-Fitzgerald filters. The comparative evaluation is attempted via Monte Carlo simulation. The paper concludes with a macroeconomic illustration for Indian data.

Keywords: Cycle extraction; Band-pass filtering; DSP filters; Spectral density comparison; Eichler test; Coates-Diggle test (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s40953-022-00310-1

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