DETRENDING AND BUSINESS-CYCLE FACTS

This paper examines the business cycle properties of a small set of a real US macroeconomic time series using a variety of detrending method s. It is shown that both quantitatively and qualitatively 'stylized fa cts' of US business cycles vary widely across detrending methods and t hat alternative detrending filters extract different types of informat ion from the data. Implications and suggestions for current macroecono mic practice are provided. (C) 1998 Elsevier Science B.V. All rights r eserved.