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Tesi etd-06302008-164431


Thesis type
Tesi di laurea specialistica
Author
PIAZZA, MARCO
URN
etd-06302008-164431
Title
Assessing the impact of alternative filtering techniques on the distributional properties of U.S. output time series
Struttura
ECONOMIA
Corso di studi
SCIENZE ECONOMICHE
Supervisors
Relatore Dott. Bianchi, Carlo Luigi
Parole chiave
  • time series
  • filters
  • Exponential Power distribution
  • Business Cycle
Data inizio appello
16/07/2008;
Consultabilità
Completa
Riassunto analitico
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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