A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...

We consider the problem of smoothing data on two-dimensional grids with holes or gaps. Such grids are often referred to as difficult regions. Since the data is not observed on these locations, the gap is not part of the domain. We cannot apply standard smoothing methods since they smooth over...

A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...

We consider the problem of smoothing data on two-dimensional grids with holes or gaps. Such grids are often referred to as difficult regions. Since the data is not observed on these locations, the gap is not part of the domain. We cannot apply standard smoothing methods since they smooth over...

We develop a flexible semi-parametric method for the introduction of time‐varying parameters in a model‐based signal extraction procedure. Dynamic model specifications for the parameters in the model are not required. We show that signal extraction based on Kalman filtering and smoothing can...

A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...