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| Author: | Christiano, L. J. Fitzgerald, T. J. |
| Title: | The band pass filter |
| Journal: | International Economic Review
2003 : MAY, VOL. 44:2, p. 435-465 |
| Index terms: | Macroeconomics Time series Electricity USA |
| Language: | eng |
| Abstract: | The authors develop optimal finite-sampe approximation for the band pass filter. These approximation 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. |
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