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DISCRETE FOURIER TRANSFORM FILTERS: CYCLE EXTRACTION AND GIBBS EFFECT CONSIDERATIONS
Published online by Cambridge University Press: 15 September 2009
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
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- Copyright © Cambridge University Press 2009
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