On the ideality of filtering techniques in the business cycle analysis under conditions of European economy

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

On the ideality of filtering techniques in the business cycle analysis under conditions of European economy

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

On the ideality of filtering techniques in the business cycle analysis under conditions of European economy

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/7E12049" target="_blank" >7E12049: Welfare, Wealth and Work for Europe</a><br>

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

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis

ISSN

1211-8516

e-ISSN

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Svazek periodika

63

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

CZ - Česká republika

Počet stran výsledku

12

Strana od-do

915-926

Kód UT WoS článku

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EID výsledku v databázi Scopus

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