Does Detrending Matter For The Determination Of The Reference Cycle And The Selection Of Turning Points?  

Oleh:

Canova, Fabio

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Economic Journal (EBSCO) vol. 109 no. 452 (Jan. 1999), page 126-150.
Fulltext: 126.pdf (517.88KB)

Isi artikel

We examine the sensitivity of turning points classi®cation to detrending and compare the implied cycles to those derived by NBER or DOC researchers. Two dating rules are considered. Turning point dates are broadly insensitive to detrending with one dating rule but not the other and many procedures generate false alarms and miss several common turning points with the latter one. Amplitude and duration properties are also sensitive detrending and dating rules. The Hodrick and Prescott and a frequency domain ®lters are best in mimicing NBER and DOC cycles, regardless of the dating rule used.

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