Acta Univ. Agric. Silvic. Mendelianae Brun. 2015, 63(3), 915-926 | DOI: 10.11118/actaun201563030915

On the Ideality of Filtering Techniques in the Business Cycle Analysis Under Conditions of European Economy

Ladislava Issever Grochová, Petr Rozmahel
Department of Economics, Faculty of Business and Economics, Mendel University in Brno, Zemědělská 1, 613 00 Brno, Czech Republic

The paper deals with the applications and comparison of various filtering techniques, which is an integral part of the business cycles identification and their further analysis. In particular, the paper examines four high-pass and band-pass filters and compares them to an ideal filter. The gain function is estimated and shown by the periodogram to assess the filters' efficiency in the extraction of undesired periods in the time series. The monthly data of industrial production indices of chosen EU countries are used to analyse the filtering techniques. The results show the Butterworth filter as a high pass and the Christiano-Fitzgerald filter as a band-pass to be closer to an ideal filter than the Hodrick-Prescott and Baxter-King filters.

Keywords: Baxter-King filter, business cycle, Butterworth filter, Hodrick-Prescott filter, Christiano-Fitzgerald filter, gain function
Grants and funding:

This project has received funding from the European Union's Seventh Framework Programme for research, technological development and demonstration under grant agreement No. 290647.

Prepublished online: June 28, 2015; Published: August 1, 2015  Show citation

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Issever Grochová, L., & Rozmahel, P. (2015). On the Ideality of Filtering Techniques in the Business Cycle Analysis Under Conditions of European Economy. Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 63(3), 915-926. doi: 10.11118/actaun201563030915
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