IDEAS home Printed from https://ideas.repec.org/a/prs/ecoprv/ecop_0249-4744_1995_num_120_4_5746.html
   My bibliography  Save this article

Décomposition tendance-cycle : estimations par des méthodes statistiques univariées

Author

Listed:
  • Catherine Doz
  • Guillaume Rabault
  • Nicolas Sobczak

Abstract

[spa] Desgloses tendencia - ciclo : estimación mediante métodos estadísticos univariados por Catherine Doz, Guillaume Rabault y Nicolas Sobczak . El análisis de las series macroeconômicas descansa por lo general en un desglose en tendencia y ciclo. Este articulo esta dedicado al examen de métodos puramente estadisticos de extracciôn de una tendencia y de un ciclo a partir de una série bruta ; se limita a las técnicas univariadas que con mas frecuencia se utilizan. Después de una presentacion de las técnicas tradicionales, se introduce métodos de desglose en los cuales la tendencia esta explicitamente modelizada como un proceso estocâstico. Se présenta en particular el desglose de Beveridge-Nelson, y los modelos de componentes inobservables y se aplica estes métodos a datos franceses. Entre los modelos presentados, solo aquellos que especifican una tendencia integrada de orden 2 conducen a un componente ciclico que présenta una cierta amplitud. Analizamos entonces dicho resultado desde un punto de vista teôrico. [fre] L'analyse des séries macro-économiques repose généralement sur une décomposition en tendance et cycle. Cet article est consacré à l'examen de méthodes purement statistiques d'extraction d'une tendance et d'un cycle à partir d'une série brute ; il se limite aux techniques univariées les plus fréquemment utilisées. Après une présentation des techniques traditionnelles, on introduit des méthodes de décomposition dans lesquelles la tendance est explicitement modélisée comme un processus stochastique. On présente en particulier la décomposition de Beveridge-Nelson et les modèles à composantes inobservables, et on applique ces méthodes sur données françaises. Parmi les modèles présentés, seuls ceux qui spécifient une tendance intégrée d'ordre 2 conduisent à une composante cyclique présentant une certaine amplitude. Nous analysons alors ce résultat d'un point de vue théorique. [eng] Trend-Cycle Breakdown: Estimations Using Univariate Statistical Methods by Catherine Doz, Guillaume Rabault and Nicolas Sobczak . The analysis of macroeconomic series is generally based on a breakdown into trend and cycle. This paper examines the purely statistical methods of trend and cycle extraction from a complete series. It is limited to the most frequently used univariate techniques. Once the traditional techniques have been presented, the breakdown methods are introduced whereby the trend is explicitly modeled as a stochastic process. Special attention is paid to the Beveridge-Nelson breakdown and the models with unobservable components. These methods are then applied to French data. Of the models presented, only those specifying a trend integrated of order two result in a cyclical component of some magnitude. This result is analyzed from a theoretical point of view. [ger] Zerlegungen in Trend und Zyklus: Schätzung mit univariaten statistischen Methoden von Catherine Doz, Guillaume Rabault, Nicolas Sobczak . Die Analyse der gesamtwirtschaftlichen Reihen beruht im allgemeinen auf einer Zerlegung in Trend und Zyklus. In diesem Artikel werden rein statistische Methoden zur Herausrechnung eines Trends und eines Zyklus anhand einer Bruttoreihe untersucht. Hierbei beschranken wir uns auf die am haufigsten verwandten univariaten Verfahren. Nach einer Darstellung der herkommlichen Verfahren werden Zerlegungsmethoden mit einbezogen, bei denen der Trend explizit als stochastischer ProzeB modelliert wird. Erlautert werden insbesondere die Zerlegungsformel von Beveridge-Nelson sowie die Modelle mit nichtbeobachtbaren Komponenten, wobei diese Methoden auf franzôsische Daten angewandt werden. Unter den dargestellten Modellen fuhren lediglich diejenigen, die einen integrierten Trend zweiter Ordnung spezifizieren, zu einer zyklischen Komponente, die eine gewisse Amplitude aufweist. Dieses Ergebnis analysieren wir anschlieBend in theoretischer Hinsicht.

Suggested Citation

  • Catherine Doz & Guillaume Rabault & Nicolas Sobczak, 1995. "Décomposition tendance-cycle : estimations par des méthodes statistiques univariées," Économie et Prévision, Programme National Persée, vol. 120(4), pages 73-93.
  • Handle: RePEc:prs:ecoprv:ecop_0249-4744_1995_num_120_4_5746
    Note: DOI:10.3406/ecop.1995.5746
    as

    Download full text from publisher

    File URL: https://doi.org/10.3406/ecop.1995.5746
    Download Restriction: no

    File URL: https://www.persee.fr/doc/ecop_0249-4744_1995_num_120_4_5746
    Download Restriction: no

    References listed on IDEAS

    as
    1. Nelson, Charles R & Kang, Heejoon, 1981. "Spurious Periodicity in Inappropriately Detrended Time Series," Econometrica, Econometric Society, vol. 49(3), pages 741-751, May.
    2. Quah, Danny, 1992. "The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds," Econometrica, Econometric Society, vol. 60(1), pages 107-118, January.
    3. Watson, Mark W., 1986. "Univariate detrending methods with stochastic trends," Journal of Monetary Economics, Elsevier, vol. 18(1), pages 49-75, July.
    4. Peter K. Clark, 1987. "The Cyclical Component of U. S. Economic Activity," The Quarterly Journal of Economics, Oxford University Press, vol. 102(4), pages 797-814.
    5. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    6. Cogley, Timothy, 1990. "International Evidence on the Size of the Random Walk in Output," Journal of Political Economy, University of Chicago Press, vol. 98(3), pages 501-518, June.
    7. Danthine, Jean-Pierre & Girardin, Michel, 1989. "Business cycles in Switzerland : A comparative study," European Economic Review, Elsevier, vol. 33(1), pages 31-50, January.
    8. Perron, Pierre, 1989. "The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Econometrica, Econometric Society, vol. 57(6), pages 1361-1401, November.
    9. Jacky Fayolle & Alexandre Mathis, 1993. "Tendances et cycles stylisés dans les pays du G7 - Une approche stochastique," Revue de l'OFCE, Programme National Persée, vol. 47(1), pages 201-233.
    10. Harvey, A C, 1985. "Trends and Cycles in Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(3), pages 216-227, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hervé Le Bihan, 2004. "Tests de rupture : une application au PIB tendanciel français," Economie & Prévision, La Documentation Française, vol. 163(2), pages 133-154.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:prs:ecoprv:ecop_0249-4744_1995_num_120_4_5746. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Equipe PERSEE). General contact details of provider: https://www.persee.fr/collection/ecop .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.