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Most designs appear to filter most of the harmonics out of the oscillator before modulation, then apply additional filtering as needed for the specific modulation they are using after modulation.

Would it be reasonable to modulate with the square wave, and do all the filtering after modulation?

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    $\begingroup$ What oscillator? What modulation? What filtering? $\endgroup$ – Phil Frost - W8II Dec 19 '13 at 13:35
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Filtering square wave aims to produce as pure as possible sine wave as the local oscillator frequency. If you would feed all the harmonics to the non-linear modulator, the output would contain all the strange sum frequencies that can be very close to the wanted signal. For example in SSB transmitter the unwanted sideband could mix with a harmonic of the local oscillator to the same frequency as the wanted sideband and the base frequency.

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