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Detrending Methods for Macroeconomic Variables: A Comparative View Patterns in Neighboring Areas

Author

Listed:
  • Marios Fridakis

    (Athens University of Economics and Business, Athens, Greece)

  • Alexandra Livada

    (Athens University of Economics and Business, Athens, Greece)

Abstract

This paper considers different detrending methods and analyses the effects that they each have on the cyclical behaviour of economic time series. The detrending filters are then applied on U.S. and U.K. macroeconomic series and different criteria are used to indicate the performance of the filters and to see if any can be considered superior in their task.

Suggested Citation

  • Marios Fridakis & Alexandra Livada, 2001. "Detrending Methods for Macroeconomic Variables: A Comparative View Patterns in Neighboring Areas," Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 5(1), pages 84-109, Summer.
    • Handle: RePEc:ekn:ekonom:v:5:y:2001:i:1:p:84-109
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    More about this item

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles

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