Rare Events in the American GDP Time Series, 1790-Present: Fact or Artefact

Chikhi, Mohamed and Diebolt, Claude (2010): Rare Events in the American GDP Time Series, 1790-Present: Fact or Artefact. Published in: Cahiers du CREAD No. 92 (2010): pp. 25-41.

Abstract

This paper studies the cyclical behaviour of the annual American Gross Domestic Product (GDP) series. We show that rare events have varied effects, which give useful information on the nature and the amplitude of economic shocks. Our methodology is, more precisely, an efficient testing procedure to control the robustness of historical time series constructions.

• Item Type: MPRA Paper
• Language: English
• Keywords: Cliometrics, GDP, Historical Time Series, Outliers, USA.
• Subjects: B - History of Economic Thought, Methodology, and Heterodox Approaches > B2 - History of Economic Thought since 1925 > B22 - Macroeconomics; B - History of Economic Thought, Methodology, and Heterodox Approaches > B2 - History of Economic Thought since 1925 > B23 - Econometrics ; Quantitative and Mathematical Studies; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs > C82 - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data ; Data Access; N - Economic History > N1 - Macroeconomics and Monetary Economics ; Industrial Structure ; Growth ; Fluctuations > N11 - U.S. ; Canada: Pre-1913; N - Economic History > N1 - Macroeconomics and Monetary Economics ; Industrial Structure ; Growth ; Fluctuations > N12 - U.S. ; Canada: 1913-

References

Chikhi, M and Diebolt, C., “Rare Events in the American GDP Time Series, 1790-Present: Fact or Artefact?”, in : Cahiers du CREAD, 2010, 92, pp. 25-41.