Detrending Time Series and Business Cycles. The Romanian Case

Viorica Chirila

Acta Universitatis Danubius. OEconomica, 2012, issue 4(4), 126-136

Abstract: Detrending time series trend is a very important research topic for the economics of economic cycles, yet up to this moment no consensus has been reached on the methods used, which makes it a controversial topic. The papers made on the comparative analysis of time series exclusion trend are based on relatively large samples as to what we have available in Romania. The initiation of the passage to a market economy starting with 1989 meant for Romania changes in statistical records at that time and afterwards, therefore the samples we have available for the study are relatively limited as to samples from developed countries. Moreover, while the analysis for USA is made on values of the gross domestic product at a monthly rate, for Romania the values for the gross domestic product we have available are at most at a quarterly rate since 1998. Our analysis was conducted on the business cycles of variables representing fundamental indicators of the evolution of an economy on a quarterly basis during 1998.1 – 2011.3: gross domestic product, the final consumption, the working hours, the real wages, the productivity and the capital stock. To estimate the business cycles of variables we took into consideration the polynomial functions of time, the first order differences, the Beveridge-Nelson decomposition and Hodrick-Prescott filter. The results obtained are in compliance with the previous research performed on the economies of other countries.

Keywords: business cycles; stationarity; asimetry; Beveridge-Nelson decomposition (search for similar items in EconPapers)
Date: 2012
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