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DISCRETE FOURIER TRANSFORM FILTERS: CYCLE EXTRACTION AND GIBBS EFFECT CONSIDERATIONS

Published online by Cambridge University Press:  15 September 2009

Melvin J. Hinich ,
John Foster  and
Phillip Wild
Melvin J. Hinich
Affiliation:
University of Texas at Austin
John Foster
Affiliation:
University of Queensland
Phillip Wild*
Affiliation:
University of Queensland
*
Address correspondence to: Phillip Wild, School of Economics, University of Queensland, St Lucia, QLD, 4072, Australia; e-mail: p.wild@uq.edu.au.
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Abstract

The purpose of this note is to analyze the capability of bandpass filters to extract a known periodicity. The specific bandpass filters considered are a conventional discrete Fourier transform (DFT) filter and the filter recently proposed by Iacobucci and Noullez. We employ simulation methods to investigate cycle extraction properties. We also examine the implications arising from the Gibbs effect in practical settings that typically confront applied macroeconomists

Keywords

Business CyclesBandpass FilterCycle ExtractionDiscrete Fourier Transform (DFT)Gibbs Effect
Type
Notes
Information
Macroeconomic Dynamics , Volume 13 , Issue 4 , September 2009 , pp. 523 - 534
Copyright
Copyright © Cambridge University Press 2009

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References

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