Abstract
By applying the Fourier analysis, we study the spectral properties of R-filters. Further, we prove that R-filters are a generalization of least squares polynomial adjustment, and we give the geometric interpretation of R-filters.
Similar content being viewed by others
References
Hodrick, R. J. and Prescott, E. C. Postwar U. S. business cycles: an empirical investigation. Journal of Money, Credit, and Banking 29(1), 1–16 (1997)
Apel, Mikael, Hansen, Jan and Lindberg, Hans. Potential output and output gap. Quarterly Review III, Sveriges Riksbank (1996)
Rodrigues Neto, Jose, A., Areosa, Marta B. M., and Araujo, Fabio. R-filters: a Hodrick-Prescott filter generalization. Working Paper Series 69, 1–37 (2003)
Ehlgen, Jürgen. Distortionary effects of the optimal Hodrick-Prescott filter. Economic Letters 61(3), 345–349 (1998)
Razaak, W. The Hodrick-Prescott technique: a smooler versus a filter. an application to New Zealand GDP. Economic Letters 57(2), 163–168 (1997)
Cogly, Timothy and Nason, James M. Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implication for business cycle research. Journal of Economic Dynamics and Control 19(1–2), 253–278 (1995)
King, Robert G. and Rebelo, Sergio T. Low frequency filtering and real business cycles. Journal of Economic Dynamics and Control 17, 207–231 (1993)
Reeves, J. J., Blyth, C. A., Triggs, C. M., and Small, J. P. The Hodrick-Prescott filter, a generalization, and a new procedure for extracting an empirical cycle from a series. Studies in Nonlinear Dynamics and Econometrics 4(1), 1–16 (2000)
Baxter, M. and King, Robert G. Measure business cycles: approximate band-pass filters for economic time series. The Review of Economics and Statistics 81(4), 575–593 (1999)
Horn, R. and Johnson, C. R. Martrix Analysis, Cambridge University Press, New York (1985)
Author information
Authors and Affiliations
Corresponding author
Additional information
Project supported by the National Basic Research Program of China (973 Program) (No. NKBRPC-2004CB318003), the Knowledge Innovation Program of the Chinese Academy of Sciences (No. KJCX2-YW-S02), and the National Natural Science Foundation of China (No. 10771205)
Rights and permissions
About this article
Cite this article
Leng, T. Spectral properties and geometric interpretation of R-filters. Appl. Math. Mech.-Engl. Ed. 30, 109–120 (2009). https://doi.org/10.1007/s10483-009-0112-2
Received:
Revised:
Published:
Issue Date:
DOI: https://doi.org/10.1007/s10483-009-0112-2