Discrete Fourier Transform Filters as Business Cycle Extraction Tools: An Investigation of Cycle Extraction Properties and Applicability of ‘Gibbs’ Effect

Hinich, Melvin. J., Foster, John and Wild, Phillip (2008) Discrete Fourier Transform Filters as Business Cycle Extraction Tools: An Investigation of Cycle Extraction Properties and Applicability of ‘Gibbs’ Effect. Discussion Paper No. 357, School of Economics, The University of Queensland.

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Author Hinich, Melvin. J.
Foster, John
Wild, Phillip
Title Discrete Fourier Transform Filters as Business Cycle Extraction Tools: An Investigation of Cycle Extraction Properties and Applicability of ‘Gibbs’ Effect
School, Department or Centre School of Economics
Institution The University of Queensland
Report Number Discussion Paper No. 357
Publication date 2008-03-01
Start page 1
End page 42
Total pages 42
Language eng
Subject 14 Economics
Abstract/Summary The purpose of this article is to investigate the ability of an assortment of frequency domain bandpass filters proposed in the economics literature to extract a known periodicity. The specific bandpass filters investigated include a conventional Discrete Fourier Transform filter, together with the filter recently proposed in Iacobucci-Noullez (2004, 2005). We employ simulation methods whereby the above-mentioned filters are applied to artificial data in order to investigate their cycle extraction properties. We also investigate the implications and complications that may arise from the Gibbs Effect in practical settings that typically confront applied macroeconomists.
Keyword business cycles
bandpass filter
cycle extraction
Discrete Fourier Transform (DFT)
Gibbs Effect

Document type: Department Technical Report
Collection: Discussion Papers (School of Economics)
 
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Created: Tue, 09 Sep 2008, 15:05:06 EST by Diana Guillemin on behalf of School of Economics