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Tesi etd-06302008-164431


Tipo di tesi
Tesi di laurea specialistica
Autore
PIAZZA, MARCO
URN
etd-06302008-164431
Titolo
Assessing the impact of alternative filtering techniques on the distributional properties of U.S. output time series
Dipartimento
ECONOMIA
Corso di studi
SCIENZE ECONOMICHE
Relatori
Relatore Dott. Bianchi, Carlo Luigi
Parole chiave
  • Business Cycle
  • Exponential Power distribution
  • filters
  • time series
Data inizio appello
16/07/2008
Consultabilità
Completa
Riassunto
The work assesses the impact of alternative filtering techniques on
the distributional properties of US time series. We consider filtered
time series of US output levels and growth rates and of other relevant
macroeconomic variables, and we fit the distributions. Moreover, as
regards US output growth rates, we analyse the distribution of isolate
different frequency bands. The main findings are that the majority of
US levels and growth rate distributions show tails much fatter than
those of a normal distribution, and that this result is robust to a series
of alternative filtering methods. Finally, we offers some theoretical
interpretations regarding the statistical evidences, in order to explain
why the majority of the US time series displays fat tails.
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