Detrending and business cycle facts

Abstract

This paper examines the business cycle properties of a small set of a real US macroeconomic time series using a variety of detrending methods. It is shown that both quantitatively and qualitatively 'stylized facts' of US business cycles vary widely across detrending methods and that alternative detrending filters extract different types of information from the data. Implications and suggestions for current macroeconomic practice are provided.