Title :
Frequency Domain Method for Analysis of Macroeconomic Time Series
Author :
Zhu, Xiaomeng ; Luan, Weixin ; Zhu, Yi-Sheng
Author_Institution :
Humanities & Social Sci. Coll., Dalian Maritime Univ., Dalian, China
Abstract :
In this paper the transmission characteristics of the Hodrick-Prescott (HP) filter and the frequency-domain characteristics of China´s gross domestic product (GDP) time series are studied. An 3dB bandwidth of HP filter is defined and the effect of the smoothing parameters on the macroeconomic time series is analyzed. We propose that the trend components for more high-precision can be obtained by interpolation and the economic cycle of China´s GDP be determined by the discrete Fourier transformation of the fluctuation component of GDP time series.
Keywords :
discrete Fourier transforms; economic indicators; interpolation; macroeconomics; time series; China gross domestic product; Hodrick-Prescott filter; discrete Fourier transformation; frequency domain method; interpolation; macroeconomic time series analysis; Bandwidth; Economic indicators; Fluctuations; Interpolation; Smoothing methods; Time frequency analysis; Time series analysis;
Conference_Titel :
Multimedia Technology (ICMT), 2010 International Conference on
Conference_Location :
Ningbo
Print_ISBN :
978-1-4244-7871-2
DOI :
10.1109/ICMULT.2010.5630827
