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Stability of Extracted Cycles : A Case of Adjustment Factors in Quarterly Data
https://seijo.repo.nii.ac.jp/records/2288
https://seijo.repo.nii.ac.jp/records/2288193be6f9-91a2-488c-923a-e5df0b480247
名前 / ファイル | ライセンス | アクション |
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KJ00007238199 (13.8 MB)
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Item type | 紀要論文(ELS) / Departmental Bulletin Paper(1) | |||||
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公開日 | 2011-07-01 | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | Stability of Extracted Cycles : A Case of Adjustment Factors in Quarterly Data | |||||
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 | 5659 | |||||
姓名 | オオツ, タケシ | |||||
著者名(英) | ||||||
識別子Scheme | WEKO | |||||
識別子 | 5660 | |||||
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 studies stability of cyclical components extracted from economic time series. We examine the cyclical components extracted with the Butterworth filter in Gomez (2001) and Pollock (2000), the Hammingwindowed filter in Iacobucci and Noullez (2005), and the ChristianoFitzgerald (CF) filter in Christiano and Fitzgerald (2003). We use two types of stability diagnostics discussed in Findley et al. (1998): sliding spans and revision histories. The main findings are as follows. First, the tangentbased Butterworth filtering produces more stable adjustment components than other three filtering methods. Second, the estimates are very stable in the middle range of the series. Finally, as a rule of thumb, we should use series longer than 120 sample points for filtering in practice so that data revision would least affect subsequent analyses. | |||||
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 193, p. 95-144, 発行日 2011-07 |