Separating Trends and Cycles

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概要

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• This paper has investigated the phase-shift effects, the compression and the leakage effects of commonly-used filtering methods in macroeconomics: the Baxter-King filter, the Christiano-Fitzgerald filter, the Hamming-windowed filter, and the Butterworth filter. We have used artificial data with various trend components and a cyclical component that presumably reproduce typical macroeconomic time series. The main findings are as follows. First, the Butterworth filter shows the best performance to extract components over the targeted band frequencies, when the time-series length is a multiple of the periods of the targeted frequencies. Second, the time-domain filtering indicates a severe compression. Third, the smaller the relative magnitude of the trend, the less accurate the trend estimates. Finally, the accuracy of the estimates depends on the type of trends to a lesser extent.

著者

• 大津 武

  成城大学経済学部

関連論文

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• Time-Invariant Linear Filters and Real GDP : A Case of Japan

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