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Separating Trends and Cycles
https://seijo.repo.nii.ac.jp/records/2268
https://seijo.repo.nii.ac.jp/records/226861e1d59a-9229-4ffc-87a1-54e2bca66bbb
名前 / ファイル | ライセンス | アクション |
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KJ00006577519.pdf (37.0 MB)
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Item type | 紀要論文(ELS) / Departmental Bulletin Paper(1) | |||||
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公開日 | 2010-03-01 | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | Separating Trends and Cycles | |||||
言語 | ||||||
言語 | eng | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
資源タイプ | departmental bulletin paper | |||||
ページ属性 | ||||||
内容記述タイプ | Other | |||||
内容記述 | P(論文) | |||||
記事種別(日) | ||||||
論文 | ||||||
記事種別(英) | ||||||
en | ||||||
Article | ||||||
著者名(日) |
大津, 武
× 大津, 武 |
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著者名よみ | ||||||
識別子Scheme | WEKO | |||||
識別子 | 5590 | |||||
姓名 | オオツ, タケシ | |||||
著者名(英) | ||||||
識別子Scheme | WEKO | |||||
識別子 | 5591 | |||||
姓名 | Otsu, Takeshi | |||||
言語 | en | |||||
著者所属(日) | ||||||
成城大学経済学部 | ||||||
抄録(英) | ||||||
内容記述タイプ | Other | |||||
内容記述 | This paper has investigated the phase-shift effects, the compression and the leakage effects of commonly-used filtering methods in macroeconomics: the Baxter-King filter, the Christiano-Fitzgerald filter, the Hamming-windowed filter, and the Butterworth filter. We have used artificial data with various trend components and a cyclical component that presumably reproduce typical macroeconomic time series. The main findings are as follows. First, the Butterworth filter shows the best performance to extract components over the targeted band frequencies, when the time-series length is a multiple of the periods of the targeted frequencies. Second, the time-domain filtering indicates a severe compression. Third, the smaller the relative magnitude of the trend, the less accurate the trend estimates. Finally, the accuracy of the estimates depends on the type of trends to a lesser extent. | |||||
雑誌書誌ID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AN00127472 | |||||
書誌情報 |
成城大學經濟研究 号 188, p. 95-158, 発行日 2010-03 |