trfilter: Trigonometric regression filter of a time series

Description Usage Arguments Details Value Author(s) References See Also Examples

View source: R/trfilter.R

Description

This function uses trigonometric regression filter for estimating cyclical and trend components of a time series. The function computes cyclical and trend components of the time series using a lower and upper cut-off frequency in the spirit of a band pass filter.

Usage

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trfilter(x,pl=NULL,pu=NULL,drift=FALSE)

Arguments

x

a regular time series.

pl

integer. minimum period of oscillation of desired component (pl<=2).

pu

integer. maximum period of oscillation of desired component (2<=pl<pu<infinity).

drift

logical, FALSE if no drift in time series (default), TRUE if drift in time series.

Details

Almost all filters in this package can be put into the following framework. Given a time series \{x_t\}^T_{t=1} we are interested in isolating component of x_t, denoted y_t with period of oscillations between p_l and p_u, where 2 ≤ p_l < p_u < ∞.

Consider the following decomposition of the time series

x_t = y_t + \bar{x}_t

The component y_t is assumed to have power only in the frequencies in the interval \{(a,b) \cup (-a,-b)\} \in (-π, π). a and b are related to p_l and p_u by

a=\frac{2 π}{p_u}\ \ \ \ \ {b=\frac{2 π}{p_l}}

If infinite amount of data is available, then we can use the ideal bandpass filter

y_t = B(L)x_t

where the filter, B(L), is given in terms of the lag operator L and defined as

B(L) = ∑^∞_{j=-∞} B_j L^j, \ \ \ L^k x_t = x_{t-k}

The ideal bandpass filter weights are given by

B_j = \frac{\sin(jb)-\sin(ja)}{π j}

B_0=\frac{b-a}{π}

Let T be even and define n_1=T/p_u and n_2=T/p_l. The trigonometric regression filter is based on the following relation

{y}_t=∑^{n_1}_{j=n_2}≤ft\{ a_j \cos(ω_j t) + b_j \sin(ω_j t) \right\}

where a_j and b_j are the coefficients obtained by regressing x_t on the indicated sine and cosine functions. Specifically,

a_j=\frac{T}{2}∑^{T}_{t=1}\cos(ω_j t) x_t,\ \ \ for j=1,…,T/2-1

a_j=\frac{T}{2}∑^{T}_{t=1}\cos(π t) x_t,\ \ \ for j=T/2

and

b_j=\frac{T}{2}∑^{T}_{t=1}\sin(ω_j t) x_t,\ \ \ for j=1,…,T/2-1

b_j=\frac{T}{2}∑^{T}_{t=1}\sin(π t) x_t,\ \ \ for j=T/2

Let \hat{B}(L) x_t be the trigonometric regression filter. It can be showed that \hat{B}(1)=0, so that \hat{B}(L) has a unit root for t=1,2,…,T. Also, when \hat{B}(L) is symmetric, it has a second unit root in the middle of the data for t. Therefore it is important to drift adjust data before it is filtered with a trigonometric regression filter.

If drift=TRUE the drift adjusted series is obtained as

\tilde{x}_{t}=x_t-t≤ft(\frac{x_{T}-x_{1}}{T-1}\right), \ \ t=0,1,…,T-1

where \tilde{x}_{t} is the undrifted series.

Value

A "mFilter" object (see mFilter).

Author(s)

Mehmet Balcilar, [email protected]

References

M. Baxter and R.G. King. Measuring business cycles: Approximate bandpass filters. The Review of Economics and Statistics, 81(4):575-93, 1999.

L. Christiano and T.J. Fitzgerald. The bandpass filter. International Economic Review, 44(2):435-65, 2003.

J. D. Hamilton. Time series analysis. Princeton, 1994.

R.J. Hodrick and E.C. Prescott. Postwar US business cycles: an empirical investigation. Journal of Money, Credit, and Banking, 29(1):1-16, 1997.

R.G. King and S.T. Rebelo. Low frequency filtering and real business cycles. Journal of Economic Dynamics and Control, 17(1-2):207-31, 1993.

D.S.G. Pollock. Trend estimation and de-trending via rational square-wave filters. Journal of Econometrics, 99:317-334, 2000.

See Also

mFilter, hpfilter, cffilter, bkfilter, bwfilter

Examples

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## library(mFilter)

data(unemp)

opar <- par(no.readonly=TRUE)

unemp.tr <- trfilter(unemp, drift=TRUE)
plot(unemp.tr)
unemp.tr1 <- trfilter(unemp, drift=TRUE)
unemp.tr2 <- trfilter(unemp, pl=8,pu=40,drift=TRUE)
unemp.tr3 <- trfilter(unemp, pl=2,pu=60,drift=TRUE)
unemp.tr4 <- trfilter(unemp, pl=2,pu=40,drift=TRUE)

par(mfrow=c(2,1),mar=c(3,3,2,1),cex=.8)
plot(unemp.tr1$x,
main="Trigonometric regression filter of unemployment: Trend, drift=TRUE",
     col=1, ylab="")
lines(unemp.tr1$trend,col=2)
lines(unemp.tr2$trend,col=3)
lines(unemp.tr3$trend,col=4)
lines(unemp.tr4$trend,col=5)
legend("topleft",legend=c("series", "pl=2, pu=32", "pl=8, pu=40",
"pl=2, pu=60", "pl=2, pu=40"), col=1:5, lty=rep(1,5), ncol=1)

plot(unemp.tr1$cycle,
main="Trigonometric regression filter of unemployment: Cycle,drift=TRUE",
     col=2, ylab="", ylim=range(unemp.tr3$cycle,na.rm=TRUE))
lines(unemp.tr2$cycle,col=3)
lines(unemp.tr3$cycle,col=4)
lines(unemp.tr4$cycle,col=5)
## legend("topleft",legend=c("pl=2, pu=32", "pl=8, pu=40", "pl=2, pu=60",
## "pl=2, pu=40"), col=1:5, lty=rep(1,5), ncol=1)

par(opar)

mbalcilar/mFilter documentation built on Sept. 23, 2018, 12:56 a.m.