The use of the Beveridge Nelson decomposition in macroeconomic analysis involves the truncation and estimation of infinite weighted sums of random variables, whereas the single source of error (SSE) state space approach provides a simple and effective framework that leads to exactly the same...

This paper uses the open economy structural VAR model developed in Buckle, Kim, Kirkham, McLellan and Sharma (2002) to evaluate the impact of monetary policy on New Zealand business cycles and inflation variability and the output/inflation variability trade-off. The model includes a...

This paper presents an empirical characterization of Uruguayan’s Business Cycle applying the Switching Regime methodology; three scenarios were considered: recession, moderate growth and boom. The relation between regional and Uruguayan’s business cycle is analyzed through the same...

There is a long tradition in business cycle analysis of arguing that non-linear models are needed to explain the business cycle. In recent years many non-linear models have been fitted to data on GDP for many countries, but particularly for the U.S. In this paper we set our criteria to evaluate...

We use a variety of techniques to examine the nature and degree of co-movement among Australian state business cycles. Our results indicate that these cycles move closely together, with particularly strong links between the cycles of the larger states. This finding is robust to a range of...

This paper studies subsampling hypothesis tests for panel data that are possibly nonstationary, and cross-sectionally correlated and cross-sectionally cointegrated. The tests include panel unit root and cointegration tests as special cases. The number of cross-sectional units in the panel data...

We propose a semi-parametric approach to investigate whether co-dependence across markets increase in periods of extreme returns. Given that returns on one market fall in the extreme tail of their own distribution, we compute the conditional probability that returns on another market will also...

This paper analyses empirically the relationship between money and output in Peru, based on an orthogonal decomposition of series by timescales obtained using wavelets, following Ramsey and Lampart (1998). Specifically, we propose the application of wavelet filtering to analyze cointegrating...

This article presents a non-Markovian regime switching model in which the regime states depend on the sign of an autoregressive latent variable. The magnitude of the latent variable indexes the `strength' of the state or how deeply the system is embedded in the current regime. The autoregressive...

This paper presents a rigurous framework for evaluating alternative forecasting methods for Chilean industrial production and sales. While nonlinear features appear to be important for forecasting the very short term, simple univariate linear models perform about as well for almost every...