Seasonal Cycle and Filtering

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概要

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• This paper investigates filtering performance of the Baxter-King filter, Christiano-Fitzgerald filter, the Hamming-Wind owed filter, and the Butterworth filter to identify seasonality in economic time series. Analyses with artificial data, GDP, and IIP (Index of Industrial Production) of Japan lead to the following findings. First, we find that the Butterworth filter shows a good performance in terms of the leakage, the compression, the phase shifting effects. Secondly, it is necessary for all the filtering methods to tune the cutoff points. Only the Butterworth filtering has a clear theoretical foundation to determine the cutoff points. Heuristically, the Butterworth cutoff points work well for other methods. Third, it is shown that the reflection boundary treatment substantially reduces the estimates' variation at the edges of the sample periods when filtering in frequency domain. It improves the performance of the Butterworth filter to work as one of the best descriptive tools to extract targeted cyclical components of economic time series.

• 成城大学の論文

著者

• 大津 武

  成城大学経済学部

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• Peaks and Troughs of Cycles and Filtering Methods
• Time-Invariant Linear Filters and Real GDP : A Case of Japan

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