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Seasonal Cycle and Filtering
https://seijo.repo.nii.ac.jp/records/2248
https://seijo.repo.nii.ac.jp/records/22486b84a34a-74f2-4fcb-b52f-1523a58409c4
名前 / ファイル | ライセンス | アクション |
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KJ00005638259.pdf (36.7 MB)
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Item type | 紀要論文(ELS) / Departmental Bulletin Paper(1) | |||||
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公開日 | 2009-07-01 | |||||
タイトル | ||||||
言語 | en | |||||
タイトル | Seasonal Cycle and Filtering | |||||
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 | 5518 | |||||
姓名 | オオツ, タケシ | |||||
著者名(英) | ||||||
識別子Scheme | WEKO | |||||
識別子 | 5519 | |||||
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 investigates filtering performance of the Baxter-King filter, Christiano-Fitzgerald filter, the Hamming-Wind owed filter, and the Butterworth filter to identify seasonality in economic time series. Analyses with artificial data, GDP, and IIP (Index of Industrial Production) of Japan lead to the following findings. First, we find that the Butterworth filter shows a good performance in terms of the leakage, the compression, the phase shifting effects. Secondly, it is necessary for all the filtering methods to tune the cutoff points. Only the Butterworth filtering has a clear theoretical foundation to determine the cutoff points. Heuristically, the Butterworth cutoff points work well for other methods. Third, it is shown that the reflection boundary treatment substantially reduces the estimates' variation at the edges of the sample periods when filtering in frequency domain. It improves the performance of the Butterworth filter to work as one of the best descriptive tools to extract targeted cyclical components of economic time series. | |||||
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 185, p. 175-221, 発行日 2009-07 |