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IDEOLOG: A program for filtering econometric data - a synopsis of alternative methods

By D.S.G. Pollock


An account is given of a variety of filtering procedures that have been implemented\ud in a computer program, which can be used in analysing econometric time series. The\ud program provides some new filtering procedures that operate primarily in the frequency\ud domain. Their advantage is that they are able to achieve clear separations of components\ud of the data that reside in adjacent frequency bands in a way that the conventional\ud time-domain methods cannot.\ud Several procedures that operate exclusively within the time domain have also been\ud implemented in the program. Amongst these are the bandpass filters of Baxter and\ud King and of Christiano and Fitzgerald, which have been used in estimating business\ud cycles. The Henderson filter, the Butterworth filter and the Leser or Hodrick–Prescott\ud filter are also implemented. These are also described in this paper\ud Econometric filtering procedures are required to accommodate the trends that\ud are typical of economic time series. If a trended data sequence has been reduced to\ud stationarity by differencing prior to its filtering, then the filtered sequence will need\ud to be re-inflated. This can be achieved within the time domain via the summation\ud operator, which is the inverse of the difference operator. The effects of the differencing\ud can also be reversed within the frequency domain by recourse to the frequency-response\ud function of the summation operator

Publisher: Dept. of Economics, University of Leicester
Year: 2008
OAI identifier:

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