TY - JOUR
T1 - The band pass filter
AU - Christiano, Lawrence J.
AU - Fitzgerald, Terry J.
PY - 2003/5
Y1 - 2003/5
N2 - 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 US. 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.
AB - 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 US. 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.
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U2 - 10.1111/1468-2354.t01-1-00076
DO - 10.1111/1468-2354.t01-1-00076
M3 - Review article
AN - SCOPUS:0038673349
SN - 0020-6598
VL - 44
SP - 435
EP - 465
JO - International Economic Review
JF - International Economic Review
IS - 2
ER -