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The Band pass filter

Lawrence Christiano () and Terry Fitzgerald ()

No 9906, Working Papers (Old Series) from Federal Reserve Bank of Cleveland

Abstract: 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)
Date: 1999
New Economics Papers: this item is included in nep-dge and nep-ecm
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Journal Article: The Band Pass Filter (2003)
Working Paper: The Band Pass Filter (1999) Downloads
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