The Band pass filter
Lawrence Christiano () and
Terry Fitzgerald ()
No 9906, Working Papers (Old Series) from Federal Reserve Bank of Cleveland
The \"ideal\" band-pass filter can be used to isolate the component of a time series that lies within a particular band of frequencies, but applying this filter requires a data set of infinite length. In practice, some sort of approximation is needed. Using projections, the authors derive approximations that are optimal when the time-series representations underlying the raw data have a unit root, or are stationary about a trend.
Keywords: Time-series; analysis (search for similar items in EconPapers)
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Journal Article: The Band Pass Filter (2003)
Working Paper: The Band Pass Filter (1999)
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