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A Comparative Evaluation of Some DSP Filters vis-à-vis Commonly Used Economic Filters

Author

Listed:
  • Dilip Nachane

    (IGIDR)

  • Aditi Chaubal

    (IITB)

Abstract

Economists have traditionally been interested in the problem of separating trend, cyclical and seasonal components in observed data series. In recent years, this interest has been reflected in an increasing use of band-pass filtering to define and extract business cycles in macroeconomic time series. However, there is an extensive class of filters in the field of DSP (digital signal processing), which has virtually escaped the attention of economists. The aim of this paper is two-fold firstly, to discuss the properties of some of the more promising filters in this class and secondly to evaluate the relative performance of the DSP band-pass filters vis-à-vis two band-pass filters particularly popular in the economics literature viz. the Baxter-King and Christiano-Fitzgerald filters. The comparative evaluation is attempted via Monte Carlo simulation. The paper concludes with a macroeconomic illustration for Indian data.

Suggested Citation

  • Dilip Nachane & Aditi Chaubal, 2022. "A Comparative Evaluation of Some DSP Filters vis-à-vis Commonly Used Economic Filters," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(1), pages 161-190, September.
    • Handle: RePEc:spr:jqecon:v:20:y:2022:i:1:d:10.1007_s40953-022-00310-1
    DOI: 10.1007/s40953-022-00310-1
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    More about this item

    Keywords

    Cycle extraction; Band-pass filtering; DSP filters; Spectral density comparison; Eichler test; Coates-Diggle test;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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