Morley, James C.; Nelson, Charles R.; Zivot, Eric - In: The Review of Economics and Statistics 85 (2003) 2, pp. 235-243
This paper reconciles two widely used decompositions of GDP into trend and cycle that yield starkly different results. The Beveridge-Nelson (BN) decomposition implies that a stochastic trend accounts for most of the variation in output, whereas the unobserved-components (UC) implies cyclical...