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On trend-cycle decomposition and data revision

Dungey, Mardi; Jacobs, Jan; Tian, Jing; Norden, Simon van - Faculteit Economie en Bedrijfskunde, Rijksuniversiteit … - 2012

A well-documented property of the Beveridge-Nelson trend-cycle decomposition is the perfect negative correlation between trend and cycle innovations. This paper gives a novel explanation for this negative correlation originating from the Jacobs-van Norden (2011) data revision model. Trend shocks...

Persistent link: https://www.econbiz.de/10011252461

Trend in cycle or cycle in trend? : new structural identifications for unobserved-components models of U.S. real GDP

Dungey, Mardi H.; Jacobs, Jan; Tian, Jing; Van Norden, Simon - In: Macroeconomic dynamics 19 (2015) 4, pp. 776-790

Persistent link: https://www.econbiz.de/10011309209

On the correspondence between data revision and trend-cycle decomposition

Dungey, Mardi H.; Jacobs, Jan; Tian, Jing; Van Norden, Simon - In: Applied economics letters 20 (2013) 4/6, pp. 316-319

Persistent link: https://www.econbiz.de/10009706792

Trend-cycle decomposition : implications from an exact structural identification

Dungey, Mardi H.; Jacobs, Jan; Tian, Jing; Van Norden, Simon - 2013

Persistent link: https://www.econbiz.de/10010198264

On the correspondence between data revision and trend-cycle decomposition

Dungey, Mardi H.; Jacobs, Jan; Tian, Jing; Van Norden, Simon - 2012

Persistent link: https://www.econbiz.de/10009561165

On the correspondence between data revision and trend-cycle decomposition

Dungey, Mardi H.; Jacobs, Jan; Tian, Jing; Van Norden, Simon - 2012

Persistent link: https://www.econbiz.de/10009564909

Forecasting output gaps in the G-7 countries : the role of correlated innovations and structural breaks

Dungey, Mardi H.; Jacobs, Jan; Tian, Jing - In: Applied economics 49 (2017) 45, pp. 4554-4566

Persistent link: https://www.econbiz.de/10011844233

Trend-cycle-seasonal interactions : identification and estimation

Hindrayanto, Irma; Jacobs, Jan; Osborn, Denise R.; … - In: Macroeconomic dynamics 23 (2019) 8, pp. 3163-3188

Persistent link: https://www.econbiz.de/10012166156

Trend-cycle-seasonal interactions : identification and estimation

Hindrayanto, Irma; Jacobs, Jan; Osborn, Denise R.; … - 2017

Persistent link: https://www.econbiz.de/10011747030

Forecasting output gaps in the G-7 Countries : the role of correlated innovations and structural breaks

Dungey, Mardi H.; Jacobs, Jan; Tian, Jing - 2017

Persistent link: https://www.econbiz.de/10011710782

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