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The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10010325871
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The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
Persistent link: https://www.econbiz.de/10003739126
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Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - In: Journal of applied econometrics 25 (2010) 4, pp. 695-719
Persistent link: https://www.econbiz.de/10008667461
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The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10011376640
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State space modeling in macroeconomics and finance using SsfPack in S+Finmetrics
Zivot, Eric; Wang, Jeffrey; Koopman, Siem Jan - In: State space and unobserved component models : theory …, (pp. 284-335). 2004
Persistent link: https://www.econbiz.de/10009719920
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The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - Tinbergen Instituut - 2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10011255922
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Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - In: Journal of Applied Econometrics 25 (2010) 4, pp. 695-719
We develop a flexible business cycle indicator that accounts for potential time variation in macroeconomic variables. The coincident economic indicator is based on a multivariate trend cycle decomposition model and is constructed from a moderate set of US macroeconomic time series. In...
Persistent link: https://www.econbiz.de/10008595878
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Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - In: Journal of applied econometrics 25 (2010) 4, pp. 695-720
Persistent link: https://www.econbiz.de/10008412208
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The Effect of the Great Moderation on the U.S. Business Cycle in a Time-varying Multivariate Trend-cycle Model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - Tinbergen Institute - 2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10005137091
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Extracting a Robust U.S. Business Cycle Using a Time-Varying Multivariate Model-Based Bandpass Filter
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - Department of Economics, University of Washington - 2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10008642864