Interpretation of the Effects of Filtering Integrated Time Series

João Valle e Azevedo

MPRA Paper from University Library of Munich, Germany

Abstract: We resort to a rigorous definition of spectrum of an integrated time series in order to characterise the implications of applying linear filters to such series. We conclude that in the presence of integrated series the transfer function of the filters has exactly the same interpretation as in the covariance stationary case, contrary to what many authors suggest. This disagreement leads to different conclusions regarding the link of the original fluctuations with the transformed fluctuations in the time series data, embodied in various unjustified criticisms to the application of detrending filters. Despite this, and given the frequency domain characteristics of filtered macroeconomic integrated series, we acknowledge that the choice of a particular detrending filter is far from being a neutral task.

Keywords: Unit roots; Band-pass filters; Pseudo-spectrum (search for similar items in EconPapers)
JEL-codes: C22 E32 (search for similar items in EconPapers)
Date: 2007-09-21
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Interpretation of the Effects of Filtering Integrated Time Series (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:6574

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