Detrending and business cycle facts: a user's guide
Article Abstract:
Economists are not fully aware that the different outcomes that resulted from the application of different filters to the data is outright acceptable. Moreover, economists have no sufficient evidence to claim that the differences in the outcomes are relevant enough to evaluate, distinguish and make use of the right models to the data. A comprehensive explanation of the possible outcomes of filtering on a standard set of macroeconomic series was presented.
Publication Name: Journal of Monetary Economics
Subject: Economics
ISSN: 0304-3932
Year: 1998
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Detrending and business cycle facts: a comment
Article Abstract:
Different filtering approach lead to different facts regarding the macroeconomic time series. Moreover, economists make use of a huge number of filters to derive the 'cyclical' and 'trend' components of time series, it means that these ideas do not have any distinctive meaning among them. Furthermore, there are also some economists that restrict themselves to a limited set of filters. In which it imposes the lack of intensity among them.
Publication Name: Journal of Monetary Economics
Subject: Economics
ISSN: 0304-3932
Year: 1998
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Comment about this article or add new information about this topic:
Detrending and business cycle facts
Article Abstract:
A number of detrending methods can be used to analyze business cycle properties of a real macroeconomic time series. It proves that both qualitative and quantitative stylized facts of US business cycles alters broadly on detrending systems and that alternative detrending filters draw out different types of information from the data.
Publication Name: Journal of Monetary Economics
Subject: Economics
ISSN: 0304-3932
Year: 1998
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