Filtering for Current Analysis

Working Papers.

44 pages Abstract: This paper shows how existing band-pass filtering techniques and their extension can be applied to the common current-analysis problem of estimating current trends or cycles. These techniques give estimates that are "optimal" given the available data, so their standard errors represent a lower bound on what can be achieved with other univariate techniques. Applications to the problems of estimating current trend productivity growth, core inflation, and output gaps are considered.