This paper proposes a multivariate unobserved components model to simultaneously decompose the real GDP for each of the G-7 countries into their respective trend and cycle components. In contrast to previous literature, our model allows for explicit correlation between all the contemporaneous...

We employ a multivariate correlated unobserved components model to investigate the interaction between the permanent and transitory movements in output for two groups of emerging economies: one group in Asia and the other in Latin America. Our empirical framework enables us to assess the...