The band pass filter

被引：765

作者：

Christiano, LJ

Fitzgerald, TJ

机构：

[1] St Olaf Coll, Fed Reserve Bank Minneapolis, Dept Econ, Northfield, MN 55057 USA

[2] Northwestern Univ, Fed Reserve Bank Minneapolis, Evanston, IL 60208 USA

[3] Natl Bur Econ Res, Cambridge, MA 02138 USA

[4] Fed Reserve Bank Cleveland, Cleveland, OH 44114 USA

来源：

INTERNATIONAL ECONOMIC REVIEW | 2003年 / 44卷 / 02期

关键词：

D O I：

10.1111/1468-2354.t01-1-00076

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We develop optimal finite-sample approximations for the band pass filter. These approximations include one-sided filters that can be used in real time. Optimal approximations depend upon the details of the time series representation that generates the data. Fortunately, for U.S. macroeconomic data, getting the details exactly right is not crucial. A simple approach, based on the generally false assumption that the data are generated by a random walk, is nearly optimal. We use the tools discussed here to document a new fact: There has been a significant shift in the money-inflation relationship before and after 1960.

引用

页码：435 / 465

页数：31

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