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Matlab code for A Method for Decomposing Time Series into Trend and Cycle Components

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Author Info
Julio Rotemberg (Harvard Business School)

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Abstract

This method separate a time series into a smooth component whose mean varies over time (the trend) and a stationary component (the cycle). the non-parametric method for obtaining the trend ensures that short term changes in trend growth are not associated with the current level of the cycle, thus ensuring a modicum of independence between the two series.

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File URL: http://dge.repec.org/codes/rotemberg/detrend.zip
File Format: application/x-matlab
File Function: program code
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Publisher Info
Software component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 75.

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Programming language: Matlab
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Date of creation: Dec 1999
Date of revision:
Handle: RePEc:dge:qmrbcd:75

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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.:
  1. Diebold, Francis X, 1998. "The Past, Present, and Future of Macroeconomic Forecasting," Journal of Economic Perspectives, American Economic Association, vol. 12(2), pages 175-92, Spring. [Downloadable!] (restricted)
    Other versions:
  2. Martin Eichenbaum & Jonas D.M. Fisher, 1998. "How does an increase in government purchases affect economy?," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 29-43. [Downloadable!]
  3. Canova, Fabio, 1998. "Detrending and business cycle facts," Journal of Monetary Economics, Elsevier, vol. 41(3), pages 475-512, May. [Downloadable!] (restricted)
    Other versions:
  4. Kozicki, Sharon, 1999. "Multivariate detrending under common trend restrictions: Implications for business cycle research," Journal of Economic Dynamics and Control, Elsevier, vol. 23(7), pages 997-1028, June. [Downloadable!] (restricted)
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  5. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March. [Downloadable!] (restricted)
  6. Ellison, Glenn & Fudenberg, Drew, 1993. "Rules of Thumb for Social Learning," Journal of Political Economy, University of Chicago Press, vol. 101(4), pages 612-43, August. [Downloadable!] (restricted)
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  7. 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)
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  8. Plosser, Charles I. & Schwert, G. William, 1977. "Estimation of a non-invertible moving average process : The case of overdifferencing," Journal of Econometrics, Elsevier, vol. 6(2), pages 199-224, September. [Downloadable!] (restricted)
  9. Taylor, John B., 1989. "Differences in economic fluctuations in Japan and the United States: The role of nominal rigidities," Journal of the Japanese and International Economies, Elsevier, vol. 3(2), pages 127-144, June. [Downloadable!] (restricted)
  10. Blanchard, Olivier Jean & Quah, Danny, 1989. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, American Economic Association, vol. 79(4), pages 655-73, September. [Downloadable!] (restricted)
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  11. Ramey, Valerie A. & Shapiro, Matthew D., 1998. "Costly capital reallocation and the effects of government spending," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 48, pages 145-194, June. [Downloadable!] (restricted)
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  12. Rotemberg, Julio J & Woodford, Michael, 1992. "Oligopolistic Pricing and the Effects of Aggregate Demand on Economic Activity," Journal of Political Economy, University of Chicago Press, vol. 100(6), pages 1153-1207, December. [Downloadable!] (restricted)
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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.)

  1. Jorge Enrique Restrepo & Claudio Soto, 2004. "Regularidades Empíricas de la Economía Chilena," Working Papers Central Bank of Chile 301, Central Bank of Chile. [Downloadable!]
  2. Julio J. Rotemberg, 2007. "Minimally altruistic wages and unemployment in a matching model," Working Papers 07-5, Federal Reserve Bank of Boston. [Downloadable!]
  3. Julio J. Rotemberg, 2008. "Minimally Altruistic Wages and Unemployment in a Matching Model," NBER Working Papers 13755, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. McKay, Alisdair & Reis, Ricardo, 2006. "The Brevity and Violence of Contractions and Expansions," CEPR Discussion Papers 5756, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  5. Julio J. Rotemberg, 2003. "Stochastic Technical Progress, Smooth Trends, and Nearly Distinct Business Cycles," American Economic Review, American Economic Association, vol. 93(5), pages 1543-1559, December. [Downloadable!] (restricted)
  6. Comin, D. & Gertler, M., 2003. "Medium Term Business Cycles," Working Papers 03-05, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
    Other versions:
  7. Lucas Navarro & Raimundo Soto, 2006. "Procyclical Productivity in Manufacturing," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 43(127), pages 193-220. [Downloadable!]
  8. Athanasios Orphanides & John C. Williams, 2002. "Robust monetary policy rules with unknown natural rates," Working Papers in Applied Economic Theory 2003-01, Federal Reserve Bank of San Francisco. [Downloadable!]
    Other versions:
  9. Gebhard Flaig & Timo Wollmershäuser, 2007. "Does the Euro-zone Diverge? A Stress Indicator for Analyzing Trends and Cycles in Real GDP and Inflation," CESifo Working Paper Series CESifo Working Paper No. , CESifo GmbH. [Downloadable!]
  10. Julio J. Rotemberg, 2005. "Commentary on "reexamining the monetarist critique of interest rate rule"," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 531-536. [Downloadable!]
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