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 |
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| container_end_page | 512 |
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| container_issue | 3 |
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| container_title | Journal of monetary economics |
| container_volume | 41 |
| creator | Canova, Fabio |
| description | 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. |
| doi_str_mv | 10.1016/S0304-3932(98)00006-3 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0304-3932 |
| ispartof | Journal of monetary economics, 1998-06, Vol.41 (3), p.475-512 |
| issn | 0304-3932 1873-1295 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38608977 |
| source | RePEc; Elsevier ScienceDirect Journals; Periodicals Index Online |
| subjects | 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 |
| title | Detrending and business cycle facts |
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