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

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216305%3A26220%2F15%3APU109931" target="_blank" >RIV/00216305:26220/15:PU109931 - isvavai.cz</a>
Result on the web
<a href="http://www.vse.cz/pep/512" target="_blank" >http://www.vse.cz/pep/512</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.18267/j.pep.512" target="_blank" >10.18267/j.pep.512</a>

Result language
angličtina
Original language name
Empirical evidence of ideal filter approximation: pheriperal and selected EU countries application
Original language description
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.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability

Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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