| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7257 |
| 来源ID | Working Paper 7257 |
| The Band Pass Filter | |
| Lawrence J. Christiano; Terry J. Fitzgerald | |
| 发表日期 | 1999-07-01 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | The `ideal' band pass filter can be used to isolate the component of a time series that lies within a particular band of frequencies. However, applying this filter requires a dataset of infinite length. In practice, some sort of approximation is needed. Using projections, we derive approximations that are optimal when the time series representations underlying the raw data have a unit root, or are stationary about a trend. We identify one approximation which, though it is only optimal for one particular time series representation, nevertheless works well for standard macroeconomic time series. To illustrate the use of this approximation, we use it to characterize the change in the nature of the Phillips curve and the money-inflation relation before and after the 1960s. We find that there is surprisingly little change in the Phillips curve and substantial change in money growth-inflation relation. |
| 主题 | Macroeconomics ; Business Cycles ; Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w7257 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564789 |
| 推荐引用方式 GB/T 7714 | Lawrence J. Christiano,Terry J. Fitzgerald. The Band Pass Filter. 1999. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w7257.pdf（1465KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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