The purpose of this article is to investigate the ability of an assortment of frequency domain bandpass filters proposed in the economics literature to extract a known periodicity. The specific bandpass filters investigated include a conventional Discrete Fourier Transform filter, together with...

The purpose of this article is to investigate the ability of bandpass filters commonly used in economics to extract a known periodicity. The specific bandpass filters investigated include a Discrete Fourier Transform (DFT) filter, together with those proposed by Hodrick and Prescott (1997) and...