Perron and Wada (J Monet Econ 56:749-65, 2009) propose a new method of decomposition of the GDP in its trend and cycle …, which presents a mixture of normals in the disturbances of the trend and cycle component of output. The obtained trend … time, admits non-linearities and asymmetries in cycles. The method assumes that output can be represented by a non …

The slow recovery following the 2008/2009 recession has led to renewed interest in the question whether deep recessions … lower real GDP permanently or whether we can expect a rebound to earlier trend levels. Using a recent quantile … to large recessions. The test has more power than conventional unit root tests. We find that positive and negative shocks …

economic phases. The model replicates the official business cycle dates in Mexico and quantifies the contributions of states …

of the trend-cycle decomposition, but the Hodrick-Prescott filter does not allow for jumps. We propose a modification of …The Hodrick-Prescott filter is a popular tool in macroeconomics for decomposing a time series into a smooth trend and a … business cycle component. The last few years have witnessed global events, such as the Global Financial Crisis, the COVID-19 …

temperature. Visually, there is a clear upward trend in both data. Time series analyses suggest that CO2 is difference …-stationary and temperature is trend-stationary. Thus, the moments (mean, variance, etc.) of the data in levels are functions of time … variations in temperature. We find no statistically robust evidence of correlation, long run co-variation, long run common trend …

In this paper an Unobserved Components Model is employed to decompose U.S. real GDP into trend and cycle components … the long-run development during the last 50 years can be represented by a segmented linear trend with a break in the drift … rate in the early seventies. A further result is a remarkable decrease in the volatility of the cycle component and the …

In this paper, an Unobserved Components Model is employed to decompose German real GDP into the trend, cycle and … declined from 4.2 per cent in the sixties to 1.4 per cent at the end of the nineties of the last century. 2) The business cycle …