Moving Average Detrending and the Analysis of Business Cycles

Denise Osborn

Oxford Bulletin of Economics and Statistics, 1995, vol. 57, issue 4, 547-58

Abstract: This study complements the previous analyses of the effects of different types of detrending, by considering moving average detrending which is widely used in business cycle analysis by official and quasi-official agencies. Such detrending is shown to render a wide range of processes stationary, including those with up to second-order deterministic and/or stochastic nonstationartiy. At the same time, however, the medium and long run properties of the disturbance process are profoundly altered. Applied to an '1' (1) process, the component at a period equal to the moving average length is enhanced, with potentially serious consequences for business cycle analysis. If the detrending is applied to an '1' (2) process, the long run component is emphasized and the resulting (stationary) series may appear to be nonstationary. Copyright 1995 by Blackwell Publishing Ltd

Date: 1995
References: Add references at CitEc
Citations: View citations in EconPapers (22)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bla:obuest:v:57:y:1995:i:4:p:547-58

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0305-9049

Access Statistics for this article

Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple

More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().