Trends and cycles in real-time

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Trends and cycles in real-time

Author Info

Rómulo A.Chumacero
Francisco A.Gallego ()

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Abstract

This 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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Publisher Info
Article provided by University of Chile, Department of Economics in its journal Estudios de Economia.

Volume (Year): 29 (2002)
Issue (Month): 2 Year 2002 (December)
Pages: 211-229
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Handle: RePEc:udc:esteco:v:29:y:2002:i:2:p:211-229

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Paper
- Rómulo A. Chumacero & Francisco A. Gallego, 2001. "Trends and Cycles in Real-Time," Working Papers Central Bank of Chile 130, Central Bank of Chile. [Downloadable!]

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
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

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

Robert J. Hodrick & Edward Prescott, 1981. "Post-War U.S. Business Cycles: An Empirical Investigation," Discussion Papers 451, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
Other versions:
- Hodrick, Robert J & Prescott, Edward C, 1997. "Postwar U.S. Business Cycles: An Empirical Investigation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 29(1), pages 1-16, February.
Croushore, Dean & Stark, Tom, 2001. "A real-time data set for macroeconomists," Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November. [Downloadable!] (restricted)
Other versions:
- Dean Croushore & Tom Stark, 1999. "A real-time data set for macroeconomists," Working Papers 99-4, Federal Reserve Bank of Philadelphia. [Downloadable!]
Athanasios Orphanides & Simon van Norden, 1999. "The Reliability of Output Gap Estimates in Real Time," Macroeconomics 9907006, EconWPA. [Downloadable!]
Other versions:
- Athanasios Orphanides & Simon Van_Norden, 2000. "The Reliability of Output Gap Estimates in Real Time," Econometric Society World Congress 2000 Contributed Papers 0768, Econometric Society. [Downloadable!]
- Athanasios Orphanides & Simon van Norden, 1999. "The reliability of output gap estimates in real time," Finance and Economics Discussion Series 1999-38, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
- Athanasios Orphanides & Simon van Norden, 2001. "The Unreliability of Output Gap Estimates in Real Time," CIRANO Working Papers 2001s-57, CIRANO. [Downloadable!]
- Athanasios Orphanides & Simon van Norden, 2002. "The Unreliability of Output-Gap Estimates in Real Time," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 569-583, 07. [Downloadable!] (restricted)
Ehlgen, Jurgen, 1998. "Distortionary effects of the optimal Hodrick-Prescott filter," Economics Letters, Elsevier, vol. 61(3), pages 345-349, December. [Downloadable!] (restricted)
Raimundo Soto, 2000. "Ajuste Estacional e Integración en Variables Macroeconómicas," Working Papers Central Bank of Chile 73, Central Bank of Chile. [Downloadable!]
Other versions:
- Raimundo Soto, 2002. "Ajuste Estacional e Integración en Variables Macroeconómicas," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 39(116), pages 135-155. [Downloadable!]
St-Amant, P. & van Norden, S., 1997. "Measurement of the Output Gap: A Discussion of Recent Research at the Bank of Canada," Technical Reports 79, Bank of Canada. [Downloadable!]
Jushan Bai & Pierre Perron, 1998. "Estimating and Testing Linear Models with Multiple Structural Changes," Econometrica, Econometric Society, vol. 66(1), pages 47-78, January.
Other versions:
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Perron, P. & Bai, J., 1995. "Estimating and Testing Linear Models with Multiple Structural Changes," Cahiers de recherche 9552, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
Marianne Baxter & Robert G. King, 1995. "Measuring Business Cycles Approximate Band-Pass Filters for Economic Time Series," NBER Working Papers 5022, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions:
- Marianne Baxter & Robert G. King, 1999. "Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 575-593, November. [Downloadable!] (restricted)

Full references

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Rebeca de la Rocque Palis & Roberto Luis Olinto Ramos & Patrice Robitaille, 2004. "News or noise? an analysis of Brazilian GDP announcements," International Finance Discussion Papers 776, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
Rodrigo Fuentes S. & Fabián Gredig U. & Mauricio Larraín E., 2008. "The output Gap in chile: Measurement and Evaluation," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(2), pages 7-30, August. [Downloadable!]
Gabriela Contreras M & Pablo García S, 2002. "Estimating Gaps and Trends for the Chilean Economy," Working Papers Central Bank of Chile 165, Central Bank of Chile. [Downloadable!]
Rodrigo Fuentes & Fabián Gredig & Mauricio Larraín, 2007. "Estimating the Output Gap for Chile," Working Papers Central Bank of Chile 455, Central Bank of Chile. [Downloadable!]
Kishor, N. Kundan, 2009. "Data Revisions in India and its Implications for Monetary Policy," MPRA Paper 16099, University Library of Munich, Germany. [Downloadable!]

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