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Matlab code for A Method for Decomposing Time Series into Trend and Cycle Components Author info | Abstract | Publisher info | Download info | Related research | Statistics Julio Rotemberg (Harvard Business School)
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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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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 1999Date of revision:
Handle: RePEc:dge:qmrbcd:75Contact details of provider: Postal: 341 Mansfield Road/U-63, Storrs, Connecticut 06269-1063 Phone: (860) 486-4889 Fax: (860) 486-4463 Web page: http://dge.repec.org/ More information through EDIRC
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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.: Diebold, Francis X, 1998.
"The Past, Present, and Future of Macroeconomic Forecasting ,"
Journal of Economic Perspectives ,
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[Downloadable!] (restricted)
Other versions:
Francis X. Diebold, 1997.
"The past, present, and future of macroeconomic forecasting ,"
Working Papers
97-20, Federal Reserve Bank of Philadelphia.
[Downloadable!] Francis X. Diebold, 1997.
"The Past, Present, and Future of Macroeconomic Forecasting ,"
NBER Working Papers
6290, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Martin Eichenbaum & Jonas D.M. Fisher, 1998.
"How does an increase in government purchases affect economy? ,"
Economic Perspectives ,
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Canova, Fabio, 1998.
"Detrending and business cycle facts ,"
Journal of Monetary Economics ,
Elsevier, vol. 41(3), pages 475-512, May.
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Other versions: 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.
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Other versions: 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.
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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.
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Other versions:
ELLISON, Glenn & FUDENBERG, Drew, 1992.
"Rules of Thumb for Social Learning ,"
IDEI Working Papers
17, Institut d'Économie Industrielle (IDEI), Toulouse.
Allison, G. & Fudenberg, D., 1992.
"Rules of Thumb for Social Learning ,"
Working papers
92-12, Massachusetts Institute of Technology (MIT), Department of Economics.
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.
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Other versions: 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.
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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.
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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.
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Other versions: 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)
Other versions: 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)
Other versions:
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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.)
Jorge Enrique Restrepo & Claudio Soto, 2004.
"Regularidades Empíricas de la Economía Chilena ,"
Working Papers Central Bank of Chile
301, Central Bank of Chile.
[Downloadable!]
Julio J. Rotemberg, 2007.
"Minimally altruistic wages and unemployment in a matching model ,"
Working Papers
07-5, Federal Reserve Bank of Boston.
[Downloadable!]
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)
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: 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)
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:
Diego Comin & Mark Gertler, 2003.
"Medium Term Business Cycles ,"
NBER Working Papers
10003, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Diego Comin & Mark Gertler, 2006.
"Medium-Term Business Cycles ,"
American Economic Review ,
American Economic Association, vol. 96(3), pages 523-551, June.
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!]
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: 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!]
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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