Detrending and the Distributional Properties of U.S. Output Time Series

Giorgio Fagiolo (), Mauro Napoletano, Marco Piazza () and Andrea Roventini
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Marco Piazza: Sant''Anna School of Advanced Studies, Pisa (Italy).

Economics Bulletin, 2009, vol. 29, issue 4, 3155-3161

Abstract: We study the impact of alternative detrending techniques on the distributional properties of U.S. output time series. We detrend GDP and industrial production time series employing first-differencing, Hodrick-Prescott and bandpass filters. We show that the resulting distributions can be approximated by symmetric Exponential-Power densities, with tails fatter than those of a Gaussian. We also employ frequency-band decomposition procedures finding that fat tails occur more likely at high and medium business-cycle frequencies. These results confirm the robustness of the fat-tail property of detrended output time-series distributions and suggest that business-cycle models should take into account this empirical regularity.

Keywords: statistical distributions; detrending; HP filter; bandpass filter; normality; fat tails; time series; Exponential-Power density; business cycles dynamics. (search for similar items in EconPapers)
JEL-codes: C1 E3 (search for similar items in EconPapers)
Date: 2009-12-23
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Citations: View citations in EconPapers (15)

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Related works:
Working Paper: Detrending and the Distributional Properties of U.S. Output Time Series (2009)
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