The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Data Filters

  • Timothy Cogley
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2150

Abstract

Empirical economists often filter data prior to analysis to remove features that are a nuisance from the point of view of their theoretical models. Examples include trends and seasonals. This article describes how data filters work and the rationale that lies behind them. It focuses on the Baxter–King and Hodrick–Prescott filters, which are popular for measuring business cycles.

Keywords

ARIMA models Band-pass filters Baxter–King filter Business cycle measurement Cramer’s representation theorem Data filters Deterministic linear trends Gaussian log likelihood Generalized method of moments Granger causation High-pass filters Hodrick–Prescott filter Impulse response function Rational-expectations business-cycle models Seasonal adjustment Seasonal fluctuations Shocks Spurious cycle problem Stochastic general equilibrium models Stochastic trends Trend reversion Vector autoregressions 

JEL Classifications

C2 C4 
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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Timothy Cogley
    • 1
  1. 1.