Frequency Domain Method for Analysis of Macroeconomic Time Series

摘要

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.