Linear data transformations used in economics

Darrel Cohen

No 2001-59, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: The paper examines the properties of standard data transformations--such as growth rates and moving averages--used by applied economists. Because many resources are devoted to understanding the economic significance of incoming data by government and financial-market economists, for example, this paper considers data filters that do not drop recent observations, in contrast to the approximately \"ideal\" measures recently developed in the literature. Using frequency-domain techniques, it is established that moving averages of multi-period growth rates can attenuate the bias and phase shifts introduced by common data filters.

Keywords: Filters; (Mathematics) (search for similar items in EconPapers)
Date: 2001
New Economics Papers: this item is included in nep-pke
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2001-59

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