Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/89522
Authors: 
Fagiolo, Giorgio
Napoletano, Mauro
Piazza, Marco
Roventini, Andrea
Year of Publication: 
2009
Series/Report no.: 
LEM Working Paper Series 2009/14
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.
Subjects: 
Statistical Distributions
Detrending
HP Filter
Bandpass Filter
Normality
Fat Tails
Time Series
Exponential-Power Density
Business Cycles Dynamics
JEL: 
C1
E3
Document Type: 
Working Paper

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