Finance and Economics Discussion Series (FEDS)
December 2001
Linear Data Transformations Used in Economics
Darrel Cohen
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.
Keywords: Data transformations, filters, spectral analysis
PDF: Full Paper
Disclaimer: The economic research that is linked from this page represents the views of the authors and does not indicate concurrence either by other members of the Board's staff or by the Board of Governors. The economic research and their conclusions are often preliminary and are circulated to stimulate discussion and critical comment. The Board values having a staff that conducts research on a wide range of economic topics and that explores a diverse array of perspectives on those topics. The resulting conversations in academia, the economic policy community, and the broader public are important to sharpening our collective thinking.