This study investigates changes in the relationship between oil prices and the US economy from a long-term perspective. Although neither of the two series (oil price and GDP growth rates) presents structural breaks in mean, we identify different volatility periods in both of them, separately....

This paper discusses a few interpretative issues arising from trend- cycle decompositions with correlated components. We determine the conditions under which correlated components may originate from: underestimation of the cyclical component; a cycle in growth rates, rather than in the levels;...

This zip archive contains implementations of the trend-cycle-season filter in Eviews, Excel, and MatLab. The trend-cycle-season filter is another univariate method to decompose a time series into a trend, a cyclical and a seasonal component: the Trend-Cycle filter (TC filter) and its extension,...

The paper is concerned with a class of trend cycle filters, encompassing popular ones, such as the Hodrick-Prescott filter, that are derived using the Wiener-Kolmogorov signal extraction theory under maintained models that prove unrealistic in applied time series analysis. As the maintained...

This article explores by an econometric approach the permanent income hypothesis. The classical cointegration analysis applied by Cochrane and the Kalman filter technology with correlated error components are used. The latter approach compared with the former reveals a clear rejection of PIH for...

This paper proposes a new univariate method to decompose a time series into a trend, a cyclical and a seasonal component: the Trend-Cycle filter (TC filter) and its extension, the Trend-Cycle-Season filter (TCS filter). They can be regarded as extensions of the Hodrick-Prescott filter (HP...

Although nonlinearity is the rule in economic theory, nonlinearity tends to make life difficult for econometricians. While there have been many advances in nonlinear econometrics in recent years, some problems produced by nonlinearity remain 'skeletons in the closet' in empirical economic...

This paper investigates the effect of seasonal adjustment filters on the identification of mixed causal-noncausal autoregressive models. By means of Monte Carlo simulations, we find that standard seasonal filters induce spurious autoregressive dynamics on white noise series, a phenomenon already...

This paper considers the specification and performance of jackknife estimators of the autoregressive coefficient in a model with a near-unit root. The limit distributions of sub-sample estimators that are used in the construction of the jackknife estimator are derived, and the joint moment...

Several modified estimation methods of the memory parameter have been introduced in the past years. They aim to decrease the upward bias of the memory parameter in cases of low frequency contaminations or an additive noise component, especially in situations with a short-memory process being...