Keywords: Data transformations, filters, spectral analysis
Abstract: The paper examines the properties of standard data transformations--such as growth rates and moving averages--used by applied economists.
Because many resources are devoted to understanding the economic significance
of incoming data by government and financial-market economists, for
example, this paper considers data filters that do not drop recent
observations, in contrast to the approximately "ideal" measures
recently developed in the literature. Using frequency-domain
techniques, it is established that moving averages of multi-period
growth rates can attenuate the bias and phase shifts introduced by
common data filters.
Full paper (464 KB PDF)
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Last update: December 19, 2001