Trends and cycles in real-time
AbstractThis paper compares the results of applying several detrending methods to the Chilean monthly economic activity index (IMACEC) using real-time data sets. We show that data revisions are extremely important and that they can lead to systematically inconsistent estimates of the trend component. Furthermore, most of the filters commonly used to detrend time series in practice, are highly unstable and unreliable for end-of-sample estimation.
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Bibliographic InfoArticle provided by University of Chile, Department of Economics in its journal Estudios de Economia.
Volume (Year): 29 (2002)
Issue (Month): 2 Year 2002 (December)
Real-Time Data; Business Cycle; Trend; Chile.;
Other versions of this item:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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"The Unreliability of Output Gap Estimates in Real Time,"
CIRANO Working Papers
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Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 39(116), pages 135-155.
- Raimundo Soto, 2000. "Ajuste Estacional e Integración en Variables Macroeconómicas," Working Papers Central Bank of Chile 73, Central Bank of Chile.
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- Kishor, N. Kundan, 2009. "Data Revisions in India and its Implications for Monetary Policy," MPRA Paper 16099, University Library of Munich, Germany.
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