Empirical Evidence of Ideal Filter Approximation: Peripheral and Selected EU Countries Application

Jitka Poměnková, Roman Maršálek
2015 Prague Economic Papers  
We compare three filters commonly used for business cycle analysis: the Baxter-King, theChristiano-Fitzgerald and the Hamming window filter. Empirical contribution of the paper isnumerical evaluation of the approximation of the ideal band-pass fi lters in the discussion of the filters' theoretical properties (gain and attenuation within the business cycle frequencies, as well as the leakage in the remaining frequencies). We consider the truncation factor for the Baxter-King filter and the
more » ... ilter and the sample size for the latter two. We show that the leakage and attenuation of the Christiano-Fitzgerald and the Hamming window fi lter perform similarly across the range of chosen sample sizes and better than the Baxter-King fi lter. Moreover, we apply the fi lters to data of selected EU countries and point out differences in their estimation of growth business cycles. Our findings indicate that Christiano-Fitzgerald fi lter and the Hamming window both are appropriate for the identifi cation of a business cycle. The Hamming window fi lter introduces smaller attenuation near the edges but in case of small samples its approximation of ideal fi lter is very rough.
doi:10.18267/j.pep.512 fatcat:2bt4p6h6q5c4rjwrftam6jpocu