A new class of model-based filters for extracting trends and cycles in economic time series is presented. These low pass and band pass filters are derived in a mutually consistent manner as the joint solution to a signal extraction problem in an unobserved components model. The resulting trends...

This volume presents a collection of readings which give the reader an idea of the nature and scope of unobserved components (UC) models and the methods used to deal with them. It is intended to give a self-contained presentation of the methods and applicative issues.

The paper examines various tests for assessing whether a time series model requires a slope component. We first consider the simple t-test on the mean of first differences and show that it achieves high power against the alternative hypothesis of a stochastic nonstationary slope as well as...

This volume presents a collection of readings which give the reader an idea of the nature and scope of unobserved components (UC) models and the methods used to deal with them. The book is intended to give a self-contained presentation of the methods and applicative issues. Harvey has made major...