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Figure 1a: Ideal Filter Weights

B(j)
0.10

Fourier Transform
1.2

0.08

Figure 1b: p=12

1.0

0.06
0.8
0.04
0.6
0.02
0.4
0.00
0.2

-0.02

0.0

-0.04

-0.06

-0.2
0

50

100
j

150

200

0.0

0.5

1.0

1.5
2.0
frequency,

2.5

3.0

Figure 1d: p=36

Figure 1c: p=24

Fourier Transform
1.2

Fourier Transform
1.2

1.0

1.0

0.8

0.8

0.6

0.6

0.4

0.4

0.2

0.2

0.0

0.0

-0.2

-0.2
0.0

0.5

1.0

1.5
2.0
frequency,

2.5

3.0
frequency,

Figure 2a: IID Case

Figure 2b: Random Walk & Near IID Cases

Fourier Transform
1.5

Fourier Transform
1.5
Ideal

Near IID Case

1.0

1.0

0.5

0.5

0.0

Near IID Case

Random Walk Case

0.0
IID Case

-0.5

-0.5
0.0

0.5

1.0

1.5
2.0
frequency,

2.5

3.0

0.0

0.5

1.0

1.5
2.0
frequency,

2.5

3.0

Figure 3: Comparing Filter Approximations - Monthly U.S. Inflation Case

corr (y^ , y )
t t t-k

1/2
[Var (y^ )/Var(y )]
t t
t

corr (y^ ,y )
t t t

1.0

1.1

1.0

1.0

0.9

0.5

0.9

1.5 - 8 yrs 0.8

0.0
0.8

-0.5

0.7

0.7
t

0.6
0

60

120

180

0.6
0

240

1.0

60

120

180

-1.0

240

1.1

1.0

Random Walk

Optimal
0.8

1.0

0.8

0.9

0.6

0.8

0.4

Optimal Symmetric
0.6

8 - 20 yrs

Random Walk
0.4
Optimal Fixed
Optimal
0.2

0.7
t

0.0
0

60

120

180

0.2

0.6

240

60

120

180

0.0

240

1.0

1.1

1.0

0.8

1.0

0.8

0.6

0.9

0.6

0.4

0.8

0.4

0.2

0.7

0.2

20 - 40 yrs

0.0
0

60

120

180

240

0.6
0

60

120

180

240

0.0

The panels in the first two columns contain curves differentiated according to the underlying procedure used to compute y^t. See T able 2 for definitions of these procedures. While the sample size is T = 480, the statistics are
shown only for t = 1, 2, ..., 240 since the statistics are symmetric across the first and second halves of the sample. T he third column displays five correlation functions, corrt(y^t, y t-k ), associated with the Random Walk filter for
t = 1, 31, 61, 121, 240 (1/12, 2 1/2, 5, 10, 20 years). Each correlation function is displayed for k = -24, -23, ..., 0, ..., 23, 24. The plus on the correlation function indicates the location of k = 0.

M2 Growth
25

Figure 4a: M2 Growth and Inflation

20

Inflation
18
15

M2 Growth

15

12

10

-5

-10

-3

-15

-6

Inflation

Figure 5a: M2 Growth and Inflation

M2 Growth
14

Inflation
14

M2 Growth
12

12

10

10

6
4

4
Inflation

-20

-9

-25

-12
1900

1910

M2 Growth
8

1920

1930

1940

1950

1959

Inflation
10

Figure 4b: Component, 2-8 years

1960

1964

M2 Growth
6

1969

1974

1979

1984

1989

1994

Figure 5b: Component, 1.5-8 years

1999

Inflation
6.00

M2 Growth

6
Inflation

4.75

3.50
2

2.25

0
-2

1.00

-5

-0.25

-2

-4

-1.50

-6

-10

M2 Growth

-4

-8
-10

-15
1900

M2 Growth
8

-2.75

Inflation

1910

1920

1930

1940

1950

Figure 4c: Component, 8-20 years

-6

-4.00

1959

1960

Inflation
8.5

1964

6.5

4.5

2.5

1974

1979

1984

1989

1994

Figure 5c: Component, 8-20 years

M2 Growth
1.5

Inflation
6

1969

1999

Inflation
3

M2 Growth
1.0

0.5
1
0.0
0

0.5

-0.5
-2

-1.5

-4

-3.5
M2 Growth

-6
-8
1900

M2 Growth
8

1910

1920

1930

1940

1950

Figure 4d: Component, 20-40 years

-1
-1.0

-5.5

-1.5

-7.5

-2.0

Inflation
5.00

3.75

2.50
M2 Growth
1.25
0.00

-3
1959

1960

-2
Inflation
1964

1969

1974

1979

1984

1989

1994

Figure 5d: Component, 20-40 years

M2 Growth
2.00

1999

Inflation
1.5

1.25

1.0

0.50

0.5
M2 Growth

-0.25

0.0

Inflation
-2

-1.25

-4

-2.50

-6

-3.75
-5.00

-8
1900

1910

1920

1930

1940

1950

1960

-1.00

-0.5
Inflation

-1.75

-1.0

-2.50

-1.5
1959

1964

1969

1974

1979

1984

1989

1994

1999

Figure 6: Comparing Filter Approximations with the Hodrick-Prescott Filter

1/2
[Var (y^ )/Var(y )]
t t
t

corr (y^ ,y )
t t t
1.0

0.9

[Var (y^

T 160

1.1

0.8

1.0

0.6

0.9

0.4

0.8

0.2

-y

160

)]1/2

0.8

Unemp
0.7

0.6
t

0.5
0

20

40

60

0.7

80

20

40

60

0.0

80

160

170

180

100x[Var (y^

T 160

1.0

1.1

-y

160

200

)]1/2

2.0

Random Walk

H-P

0.9

1.0

1.5

Random Walk
Optimal Fixed

0.8

190

0.9

H-P

GDP

1.0
0.7

0.8

0.6

0.7
t

0.5
0

20

40

60

H-P

0.6

80

Random Walk

0.5

20

40

60

Optimal

0.0
160

80

170

180

400x[Var (y^
1.0

1.1

0.9

1.0

0.8

0.9

0.7

0.8

0.6

0.7

T 160

2.0

190

-y

160

200

)]1/2

1.5

Inflation

1.0

0.5
0

20

40

60

80

0.5

0.6
0

20

40

60

80

0.0
160

170

180

190

200

The panels in each column contain curves differentiated according to the underlying procedure used to compute y^t. T he band pass filter approximations extract the frequency band between 2 quarters and 8 years. The HodrickPrescott filter has the parameter lambda set to 1600. The time series representations are the quarterly models described in T able 1. While the sample size is T = 160, the statistics are shown only for t = 1, 2, ..., 80 since the
statistics are symmetric across the first and second halves of the sample. The third column contains the standard deviation of y^ - y for t = 160 and T equals 160, 161, ..., 200.
t t

Figure 7: Comparing the Random Walk Filter with Trigonometric Regressions - Monthly U.S. Inflation Case
corr (y^ ,y )
t t t

[Vart(y^t)/Var(yt)]

1.0

1/2

corr (y^ , y )
t t t-k
1.0

+
0.8

0.6

0.5

1.5 - 8 yrs

0.0
0.4

0.2

+
|

k
-0.5

0.0
0

60

120

180

240

60

120

180

3.5

1.0

-1.0

240

1.0

Optimal
3.0

0.8

0.8

Trigonometric Regression

2.5
0.6

0.6
Trigonometric Regression

Random
Walk

8 - 20 yrs
0.4

2.0
0.4
1.5

Random Walk
0.2

0.2

1.0
Optimal
t

0.0
0

60

120

180

0.5
0

240

60

120

180

3.5

1.0

1.0

3.0

0.8

0.0

240

0.8

2.5
0.6

0.6

20 - 40 yrs

2.0
0.4

0.4

1.5
0.2

0.2

1.0
t

0.0
0

60

120

180

240

0.5
0

60

120

180

240

0.0

The panels in the first two columns contain curves differentiated according to the underlying procedure used to compute y^ t. While the sample size is T = 480, the statistics are shown only for t = 1, 2, ..., 240 since the
statistics are symmetric across the first and second halves of the sample. The third column displays five correlation functions, corr (y^ , y ), associated with the T rigonometric Regressions for t = 1, 31, 61, 121, 240 (1/12,
t t t-k
2 1/2, 5, 10, 20 years). Each correlation function is displayed for k = -24, -23, ..., 0, ..., 23, 24. T he plus on the correlation function indicates the location of k = 0