Fagiolo, Giorgio
[Sonstige Person, Familie und Körperschaft];
Napoletano, Mauro
[Sonstige Person, Familie und Körperschaft];
Piazza, Marco
[Sonstige Person, Familie und Körperschaft];
Roventini, Andrea
[Sonstige Person, Familie und Körperschaft]
Detrending and the distributional properties of US output time series
Beschreibung:
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. -- Statistical Distributions ; Detrending ; HP Filter ; Bandpass Filter ; Normality ; Fat Tails ; Time Series ; Exponential-Power Density ; Business Cycles Dynamics