Publication detail

Empirical evidence of ideal filter approximation: pheriperal and selected EU countries application

POMĚNKOVÁ, J. MARŠÁLEK, R.

Original Title

Empirical evidence of ideal filter approximation: pheriperal and selected EU countries application

Type

journal article in Web of Science

Language

English

Original Abstract

We compare three filters commonly used for business cycle analysis: the Baxter-King, the Christiano-Fitzgerald and the Hamming window filter. Empirical contribution of the paper is numerical evaluation of the approximation of the ideal band-pass filters in the discussion of the filters theoretical properties (gain and attenuation within the business cycle frequencies, as well as the leakage in the remaining frequencies). We consider the truncation factor for the Baxter-King filter and the sample size for the latter two. We show that the leakage and attenuation of the Christiano-Fitzgerald and the Hamming window filter perform similarly across the range of chosen sample sizes and better than the Baxter-King filter. Moreover, we apply the filters to data of selected EU countries and point out differences in their estimation of growth business cycles. Our findings indicate that Christiano-Fitzgerald filter and the Hamming window both are appropriate for the identification of a business cycle. The Hamming window filter introduces smaller attenuation near the edges but in case of small samples its approximation of ideal filter is very rough.

Keywords

Band-pass filters, Business cycle, frequency transfer function, gain, attenuation, leakage

Authors

POMĚNKOVÁ, J.; MARŠÁLEK, R.

RIV year

2015

Released

24. 6. 2015

Publisher

Prague University of Economics and Business

Location

Praha

ISBN

1210-0455

Periodical

PRAGUE ECON PAP

Year of study

24

Number

5

State

Czech Republic

Pages from

485

Pages to

502

Pages count

18

URL

http://www.vse.cz/pep/512

Full text in the Digital Library

http://hdl.handle.net/11012/201141

BibTex

@article{BUT108719,
  author="Jitka {Dluhá} and Roman {Maršálek}",
  title="Empirical evidence of ideal filter approximation: pheriperal and selected EU countries application",
  journal="PRAGUE ECON PAP",
  year="2015",
  volume="24",
  number="5",
  pages="485--502",
  doi="10.18267/j.pep.512",
  issn="1210-0455",
  url="http://www.vse.cz/pep/512"
}