McElroy Tucker S.; Agustin, Maravall - In: Journal of Time Series Econometrics 6 (2014) 2, pp. 37-37
While it is typical in the econometric signal extraction literature to assume that the unobserved signal and noise components are uncorrelated, there is nevertheless an interest among econometricians in the hypothesis of hysteresis, i.e. that major movements in the economy are fundamentally...