On the ideality of filtering techniques in the business cycle analysis under conditions of European economy
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F15%3A43906303" target="_blank" >RIV/62156489:43110/15:43906303 - isvavai.cz</a>
Result on the web
<a href="http://acta.mendelu.cz/media/pdf/actaun_2015063030915.pdf" target="_blank" >http://acta.mendelu.cz/media/pdf/actaun_2015063030915.pdf</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.11118/actaun201563030915" target="_blank" >10.11118/actaun201563030915</a>
Alternative languages
Result language
angličtina
Original language name
On the ideality of filtering techniques in the business cycle analysis under conditions of European economy
Original language description
The paper deals with the applications and comparison of various filtering techniques, which is an integral part of the business cycles identification and their further analysis. In particular, the paper examines four high-pass and band-pass filters and compares them to an ideal filter. The gain function is estimated and shown by the periodogram to assess the filters' efficiency in the extraction of undesired periods in the time series. The monthly data of industrial production indices of chosen EU countries are used to analyse the filtering techniques. The results show the Butterworth filter as a high pass and the Christiano-Fitzgerald filter as a band-pass to be closer to an ideal filter than the Hodrick- Prescott and Baxter-King filters.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/7E12049" target="_blank" >7E12049: Welfare, Wealth and Work for Europe</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis
ISSN
1211-8516
e-ISSN
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Volume of the periodical
63
Issue of the periodical within the volume
3
Country of publishing house
CZ - CZECH REPUBLIC
Number of pages
12
Pages from-to
915-926
UT code for WoS article
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EID of the result in the Scopus database
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