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POMĚNKOVÁ, J. MARŠÁLEK, R.
Originální název
Empirical evidence of ideal filter approximation: pheriperal and selected EU countries application
Typ
článek v časopise ve Web of Science, Jimp
Jazyk
angličtina
Originální abstrakt
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.
Klíčová slova
Band-pass filters, Business cycle, frequency transfer function, gain, attenuation, leakage
Autoři
POMĚNKOVÁ, J.; MARŠÁLEK, R.
Rok RIV
2015
Vydáno
24. 6. 2015
Nakladatel
Prague University of Economics and Business
Místo
Praha
ISSN
1210-0455
Periodikum
PRAGUE ECON PAP
Ročník
24
Číslo
5
Stát
Česká republika
Strany od
485
Strany do
502
Strany počet
18
URL
http://www.vse.cz/pep/512
Plný text v Digitální knihovně
http://hdl.handle.net/11012/201141
BibTex
@article{BUT108719, author="Jitka {Dluhá} and Roman {Maršálek}", title="Empirical evidence of ideal filter approximation: pheriperal and selected EU countries application", journal="PRAGUE ECON PAP", year="2015", volume="24", number="5", pages="485--502", doi="10.18267/j.pep.512", issn="1210-0455", url="http://www.vse.cz/pep/512" }