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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

PRAGUE ECON PAP

ISSN

1210-0455

e-ISSN

2336-730X

Svazek periodika

neuveden

Číslo periodika v rámci svazku

5

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

18

Strana od-do

485-502

Kód UT WoS článku

000364501800001

EID výsledku v databázi Scopus

2-s2.0-84959287289