EconPapers    
Economics at your fingertips  
 

Extracting business cycle fluctuations: what do time series filters really do?

Arturo Estrella

No 289, Staff Reports from Federal Reserve Bank of New York

Abstract: Various methods are available to extract the "business cycle component" of a given time series variable. These methods may be derived as solutions to frequency extraction or signal extraction problems and differ in both their handling of trends and noise and their assumptions about the ideal time-series properties of a business cycle component. The filters are frequently illustrated by application to white noise, but applications to other processes may have very different and possibly unintended effects. This paper examines several frequently used filters as they apply to a range of dynamic process specifications and derives some guidelines for the use of such techniques.

Keywords: Business cycles; Time-series analysis (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-bec, nep-dge, nep-ecm and nep-mac
Date: 2007
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr289.html (text/html)
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr289.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fednsr:289

Ordering information: This working paper can be ordered from
http://www.ny.frb.org/rmaghome/staff_rp/

Access Statistics for this paper

More papers in Staff Reports from Federal Reserve Bank of New York Contact information at EDIRC.
Bibliographic data for series maintained by Amy Farber ().

 
Page updated 2019-08-22
Handle: RePEc:fip:fednsr:289