Trends and Cycles in Real-Time

Romulo Chumacero and Francisco Gallego

Working Papers Central Bank of Chile from Central Bank of Chile

Abstract: This paper compares the results of applying several detrending methods to the Chilean monthly economic activity index (IMACEC) that arise from 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.

Date: 2001-11
New Economics Papers: this item is included in nep-pke
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Citations: View citations in EconPapers (9)

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Journal Article: Trends and cycles in real-time (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchwp:130

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