Detrending and business cycle facts

Detrending and business cycle facts

This paper examines the business cycle properties of a small set of a real US macroeconomic time series using a variety of detrending methods. It is shown that both quantitatively and qualitatively ‘stylized facts’ of US business cycles vary widely across detrending methods and that alternative detr...

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Veröffentlicht in:Journal of monetary economics 1998-06, Vol.41 (3), p.475-512
1. Verfasser: Canova, Fabio
Format: Artikel
Sprache:eng
Schlagworte:
Business cycles
Cyclical analysis
Detrending
Econometrics
Economic fluctuations
Economic models
Economic theory
Gross national product
Input output analysis
Macroeconomics
Methods
Monetary economics
Robustness
Statistics
Stochastic processes
Studies
Time series
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Beschreibung
Zusammenfassung:This paper examines the business cycle properties of a small set of a real US macroeconomic time series using a variety of detrending methods. It is shown that both quantitatively and qualitatively ‘stylized facts’ of US business cycles vary widely across detrending methods and that alternative detrending filters extract different types of information from the data. Implications and suggestions for current macroeconomic practice are provided.
ISSN:0304-3932
1873-1295
DOI:10.1016/S0304-3932(98)00006-3