Trends and cycles in real-time

Romulo Chumacero and Francisco Gallego

Estudios de Economia, 2002, vol. 29, issue 2 Year 2002, 211-229

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

Keywords: Real-Time Data; Business Cycle; Trend; Chile. (search for similar items in EconPapers)
JEL-codes: C22 C82 E32 (search for similar items in EconPapers)
Date: 2002
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Citations: View citations in EconPapers (13)

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Working Paper: Trends and Cycles in Real-Time (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:udc:esteco:v:29:y:2002:i:2:p:211-229

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