NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series

Marianne Baxter, Robert G. King

NBER Working Paper No. 5022
Issued in February 1995
NBER Program(s):   EFG

This paper develops a set of approximate band-pass filters designed for use in a wide range of economic applications. In particular, we design and implement a specific band-pass filter which isolates business-cycle fluctuations in macroeconomic time series. This filter was designed to isolate fluctuations in the data which persist for periods of two through eight years. This filter also 'detrends' the data, in the sense that it will render stationary time series that are integrated of order two or less, or that contain deterministic time trends. We apply our filter to several of the key macroeconomic time series, and describe the picture of the U.S. postwar business cycle that emerges from our analysis. We also provide detailed comparisons with several alternative detrending methods.

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Document Object Identifier (DOI): 10.3386/w5022

Published: Baxter, Marianne and Robert G. King. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," Review of Economics and Statistics, 1999, v81(4,Nov), 575-593. citation courtesy of

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