Breitung and Candelon (2006) in <italic>Journal of Econometrics</italic> proposed a simple statistical testing procedure for the noncausality hypothesis at a given frequency. In their paper, however, they reported some theoretical results indicating that their test severely suffers from quite low power when the...

This paper estimates Japan’s output gap using the recently developed ℓ <Subscript>1</Subscript> trend filter, which is an alternative to the popular Hodrick–Prescott (HP) filter. This new filter provides a piecewise linear trend line, which means it possibly provides better output gap estimates than the HP...</subscript>

This article presents a new method for estimating the unobservable nonaccelerating inflation rate of unemployment (NAIRU). We improve upon the method employed in Ball and Mankiw (2002) so that (i) the new method can estimate simultaneously both the time-varying NAIRU and the Phillips curve slope...

This article examines the linkage of real interest rates of the three major world financial markets (USA, Japan and the UK) with the use of cointegration methods. Unlike previous works, the investigation uses a trivariate vector autoregressive (VAR) model in which a constant term in the common...

The Organisation for Economic Co-operation and Development (OECD) began to use a band-pass filter, based on the Hodrick-Prescott filter (HPband-pass filter), to calculate the composite leading indicators (CLIs) in December2008. Other than the filter adopted by the OECD, there is an alternative...