Filter-Design and Model-Based Analysis of Economic Cycles

Diego J. Pedregal ()
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Diego J. Pedregal: Universidad de Castilla-La Mancha, http://www.uclm.es/

No E2003/13, Economic Working Papers at Centro de Estudios Andaluces from Centro de Estudios Andaluces

Abstract: Two possibilities of analysis of economic cycles are studied in this document. Firstly, filter-design approaches consisting of the extraction of the information content of certain signals between two specific frequencies, as well as below or above certain frequencies. Secondly, model-based approaches, in which the specific properties of cycles are left to automatic estimation procedures in most cases. This document highlights and takes advantage of the relation between both approaches. In particular, the cycle is defined as a given frequency band as is typical of the filter-design literature, but the information is effectively extracted by a model-based approach. The procedure is shown working in practice on two typical examples.

Keywords: Kalman Filter; Fixed Interval Smoother; Frequency Domain; Unobserved Components Models; State Space models. (search for similar items in EconPapers)
JEL-codes: C14 C22 C53 (search for similar items in EconPapers)
Pages: 44 pages
Date: 2003
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
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