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A closed form multivariate linear filter

Boadway, Robin W.; Vitek, Francis - 2018

This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and trend components. We derive a closed form solution to an ordinary problem featuring homogeneous...

Persistent link: https://www.econbiz.de/10011978601

Is the slope of the Phillips curve time-varying? : evidence from unobserved components models

Fu, Bowen - In: Economic modelling 88 (2020), pp. 320-340

Persistent link: https://www.econbiz.de/10012417237

Revisiting the inflation-output gap relationship for France using a wavelet transform approach

Tiwari, Aviral Kumar; Oros, Cornel; Albulescu, Claudiu … - In: Economic modelling 37 (2014), pp. 464-475

Persistent link: https://www.econbiz.de/10010417628

Econometric issues in the estimation of the natural rate of interest

Buncic, Daniel - In: Economic modelling 132 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10014547947

Intervention analysis based on exponential smoothing methods : applications to 9/11 and COVID-19 effects

Seong, Byeongchan; Lee, Kiseop - In: Economic modelling 98 (2021), pp. 290-301

Persistent link: https://www.econbiz.de/10012793898

A century of gaps : untangling business cycles from secular trends

Constantinescu, Mihnea; Nguyen, Anh D. M. - In: Economic modelling 100 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10012795846

Smoothing and forecasting mixed-frequency time series with vector exponential smoothing models

Seong, Byeongchan - In: Economic modelling 91 (2020), pp. 463-468

Persistent link: https://www.econbiz.de/10012429116

The comovement and causality between stock market cycle and business cycle in China : evidence from a wavelet analysis

Si, Dengkui; Liu, Xi-Hua; Kong, Xianli - In: Economic modelling 83 (2019), pp. 17-30

Persistent link: https://www.econbiz.de/10012204412

Oil price and automobile stock return co-movement : a wavelet coherence analysis

Pal, Debdatta; Mitra, Subrata Kumar - In: Economic modelling 76 (2019), pp. 172-181

Persistent link: https://www.econbiz.de/10012198304

Are business and credit cycles synchronised internally or externally?

Kurowski, Łukasz; Rogowicz, Karol - In: Economic modelling 74 (2018), pp. 124-141

Persistent link: https://www.econbiz.de/10012101319

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