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Title:Extracting business cycle fluctuations: What do time series filters really do? PDF Logo
Authors:Estrella, Arturo
Issue Date:2007
Series/Report no.:Staff Report, Federal Reserve Bank of New York 289
Abstract:Various methods are available to extract the “business cycle component” of a given time series variable. These methods may be derived as solutions to frequency extraction or signal extraction problems and differ in both their handling of trends and noise and their assumptions about the ideal time-series properties of a business cycle component. The filters are frequently illustrated by application to white noise, but applications to other processes may have very different and possibly unintended effects. This paper examines several frequently used filters as they apply to a range of dynamic process specifications and derives some guidelines for the use of such techniques.
Subjects:frequency domain, spectral analysis, signal extraction
JEL:C22
E32
Document Type:Working Paper
Appears in Collections:Staff Reports, Federal Reserve Bank of New York

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