Econometric Filters

David Pollock ()

No 17/01, Discussion Papers in Economics from Division of Economics, School of Business, University of Leicester

Abstract: A variety of filters that are commonly employed by econometricians are analysed with a view to determining their effectiveness in extracting well-defined components of economic data sequences. These components can be defined in terms of their spectral structures—i.e. their frequency content—and it is argued that the process of econometric signal extraction should be guided by a careful appraisal of the periodogram of the detrended data sequence. Whereas it is true that many annual and quarterly economic data sequences are amenable to relatively unsophisticated filtering techniques, it is often the case that monthly data that exhibit strong seasonal fluctuations require a far more delicate approach. In such cases, it may be appropriate to use filters that work directly in the frequency domain by selecting or modifying the spectral ordinates of a Fourier decomposition of data that have been subject to a preliminary detrending.

Keywords: Time series; Spectral analysis; Business cycles; Turning points; Seasonality. (search for similar items in EconPapers)
Date: 2017-01
New Economics Papers: this item is included in nep-ets and nep-mac
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Econometric Filters (2016)
Working Paper: Econometric Filters (2014)
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