| Titre | Décomposition tendance-cycle : estimations par des méthodes statistiques univariées | |
|---|---|---|
| Auteur | Nicolas Sobczak, Guillaume Rabault, Catherine Doz | |
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Revue | Economie et prévision |
| Numéro | no 120, 1995/4 | |
| Rubrique / Thématique | Décrire et comprendre le cycle économique |
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| Page | 73-93 | |
| Résumé anglais |
Trend-Cycle Breakdown: Estimations Using Univariate Statistical Methods by Catherine Doz, Guillaume Rabault and Nicolas Sobczak
The analysis of macroeconomic series is generally based on a breakdown into trend and cycle. This paper examines the purely statistical methods of trend and cycle extraction from a complete series. It is limited to the most frequently used univariate techniques. Once the traditional techniques have been presented, the breakdown methods are introduced whereby the trend is explicitly modeled as a stochastic process. Special attention is paid to the Beveridge-Nelson breakdown and the models with unobservable components. These methods are then applied to French data. Of the models presented, only those specifying a trend integrated of order two result in a cyclical component of some magnitude. This result is analyzed from a theoretical point of view. Source : Éditeur (via Persée) |
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| Article en ligne | http://www.persee.fr/web/revues/home/prescript/article/ecop_0249-4744_1995_num_120_4_5746 |
