Abstract:Considering that many macroeconomic time series present changing seasonal behaviour, there is a need for filters that are robust to such changes. This article proposes a method to design seasonal filters that address this problem. The design was made in the frequency domain to estimate seasonal fluctuations that are spread around specific bands of frequencies.We assessed the generated filters by applying them to artificial data with known seasonal behaviour based on the ones of the real macroeconomic series, a… Show more
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