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Alternativas para la modelización de tendencias y ciclos en la economía argentina, 1880-2009/Alternatives for Modeling Trends and Cycles in Argentina's Economy, 1880 - 2009

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  • RABANAL, CRISTIAN

    ()
    (Departamento de Matemática y Estadística. Facultad de Ciencias Económicas. UNIVERSIDAD NACIONAL DE RÍO CUARTO. Argentina)

  • BARONIO, ALFREDO MARIO

    ()
    (Departamento de Matemática y Estadística. Facultad de Ciencias Económicas. UNIVERSIDAD NACIONAL DE RÍO CUARTO. Argentina)

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    Abstract

    Las representaciones de tendencias y ciclos han variado considerablemente a lo largo del tiempo en función de la cambiante definición económica del ciclo. Las tendencias deterministas, basadas en la descomposición clásica de series de tiempo, constituyeron el método de mayor aceptación hasta principios de la década del setenta. A partir de entonces, y sobre la base del progreso teórico, las tendencias estocásticas fueron desplazando a las formulaciones deterministas. No obstante el escepticismo sobre las pruebas de raíz unitaria, en especial frente a la presencia de cambios estructurales en las series, han puesto en duda la eficacia del nuevo enfoque para representar adecuadamente la tendencia y el ciclo de una serie temporal económica. En este trabajo revisamos diferentes técnicas univariadas utilizadas en la extracción del componente secular y cíclico. The representations of trends and cycles have varied considerably over time depending on the changing economic definition of the cycle. Deterministic trends, based on the classical decomposition of time series, were the most widely accepted method until the early seventies. Thereafter, and on the basis of theoretical progress, stochastic trends were displacing deterministic formulations. However, skepticism on unit root tests, especially with respect to the presence of structural changes in the series, has questioned the effectiveness of the new approach to adequately represent the trend and the cycle of economic time series. The aim of this paper is to review different univariate techniques used in the extraction of secular and cyclical component.

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    Bibliographic Info

    Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

    Volume (Year): 28 (2010)
    Issue (Month): (Diciembre)
    Pages: 651-670

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    Handle: RePEc:lrk:eeaart:28_3_8

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    Related research

    Keywords: tendencia determinista; tendencia estocástica; componente cíclico; pruebas de raíz unitaria; filtros ; deterministic trend; stochastic trend; cyclical component; unit root tests; filters.;

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    References

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    1. Banerjee, Anindya & Lumsdaine, Robin L & Stock, James H, 1992. "Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypotheses: Theory and International Evidence," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 10(3), pages 271-87, July.
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    11. Victor Zarnowitz & Ataman Ozyildirim, 2002. "Time Series Decomposition and Measurement of Business Cycles, Trends and Growth Cycles," NBER Working Papers 8736, National Bureau of Economic Research, Inc.
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