Publication Details

Back

Optimal band-pass filtering and the reliability of current analysis

Optimal band-pass filtering and the reliability of current analysis

This paper shows how existing band-pass filtering techniques and their extensions may be applied to the common problem of estimating current trends or cycles. These techniques give estimates which are "optimal" given the available data, so their standard errors represent a lower bound on what can be achieved with other univariate techniques. Applications to the problems of estimating current trend productivity growth, core inflation and output gaps are considered. These illustrate the different factors which determine how accurately the underlying trend is measured and the degree to which estimated cycles tend to lead or lag the true cycle.

Electronic format

Download Publication PDF (EN)
Release date: 13/09/2004
 

Additional information

Product Code: KS-DT-04-012
ISBN: 93-894-7536-6
ISSN: 1725-4825
Theme: General and regional statistics
Collection: Statistical working papers