arbiter
JournalsAccount

Band‐Pass Filtering With High‐Dimensional Time Series. A Synthetic Indicator of the Medium‐to‐Long Run Component of Growth

Alessandro Giovannelli et al.

Journal of Time Series Analysis2026https://doi.org/10.1111/jtsa.70052article
AJG 3ABDC A
Weight
0.50

Abstract

The paper deals with the construction of a synthetic indicator of economic growth, obtained by projecting a quarterly measure of aggregate economic activity, namely gross domestic product (GDP), into the space spanned by a finite number of smooth principal components, representative of the medium‐to‐long‐run component of economic growth of a high‐dimensional time series, available at the monthly frequency. The smooth principal components result from applying a cross‐sectional filter distilling the low‐pass component of growth in real time. The outcome of the projection is a monthly nowcast of the medium‐to‐long‐run component of GDP growth. After discussing the theoretical properties of the indicator, we deal with the assessment of its reliability and predictive validity with reference to a panel of macroeconomic US time series.

Open via your library →

Cite this paper

https://doi.org/https://doi.org/10.1111/jtsa.70052

Or copy a formatted citation

@article{alessandro2026,
  title        = {{Band‐Pass Filtering With High‐Dimensional Time Series. A Synthetic Indicator of the Medium‐to‐Long Run Component of Growth}},
  author       = {Alessandro Giovannelli et al.},
  journal      = {Journal of Time Series Analysis},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1111/jtsa.70052},
}

Paste directly into BibTeX, Zotero, or your reference manager.

Flag this paper

Band‐Pass Filtering With High‐Dimensional Time Series. A Synthetic Indicator of the Medium‐to‐Long Run Component of Growth

Flags are reviewed by the Arbiter methodology team within 5 business days.

Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.