English, Article, Journal or magazine article edition: Filter-Design and Model-Based Analysis of Economic Cycles Diego J. Pedregal

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Bookmark: http://trove.nla.gov.au/version/160434
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Filter-Design and Model-Based Analysis of Economic Cycles
Author
  • Diego J. Pedregal
Physical Description
  • preprint
Notes
  • Two possibilities of analysis of economic cycles are studied in this document. Firstly, filter-design approaches consisting of the extraction of the information content of certain signals between two specific frequencies, as well as below or above certain frequencies. Secondly, model-based approaches, in which the specific properties of cycles are left to automatic estimation procedures in most cases. This document highlights and takes advantage of the relation between both approaches. In particular, the cycle is defined as a given frequency band as is typical of the filter-design literature, but the information is effectively extracted by a model-based approach. The procedure is shown working in practice on two typical examples.
  • Kalman Filter, Fixed Interval Smoother, Frequency Domain,Unobserved Components Models, State Space models.
  • RePEc:cea:doctra:e2003_13
Language
  • English
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