Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series
- 1 November 1999
- journal article
- Published by MIT Press in The Review of Economics and Statistics
- Vol. 81 (4) , 575-593
- https://doi.org/10.1162/003465399558454
Abstract
Band-pass filters are useful in a wide range of economic contexts. This paper develops a set of approximate band-pass filters and illustrates their application to measuring the business-cycle component of macroeconomic activity. Detailed comparisons are made with several alternative filters commonly used for extracting business-cycle components. © 2000 by the President and Fellows of Harvard College and the Massachusetts Institute of TechnologyKeywords
This publication has 10 references indexed in Scilit:
- The post-war U.S. phillips curve: a revisionist econometric historyCarnegie-Rochester Conference Series on Public Policy, 1994
- Real business cycles and the test of the AdelmansJournal of Monetary Economics, 1994
- Real exchange rates and real interest differentials: Have we missed the business-cycle relationship?Journal of Monetary Economics, 1994
- Low frequency filtering and real business cyclesJournal of Economic Dynamics and Control, 1993
- Swedish business cycles: 1861–1988Journal of Monetary Economics, 1992
- Business cycles, stylized facts, and the exchange rate regime: evidence from the United StatesJournal of International Money and Finance, 1991
- Co-Integration and Error Correction: Representation, Estimation, and TestingEconometrica, 1987
- Theory ahead of business-cycle measurementCarnegie-Rochester Conference Series on Public Policy, 1986
- The Typical Spectral Shape of an Economic VariableEconometrica, 1966
- An Analysis of the Slower Temperature Variations at Kew Observatory by Means of Mutually Exclusive Band Pass FiltersJournal of the Royal Statistical Society. Series A (General), 1957