Luginbuhl, Rob; Vos, Aart de - In: Empirical Economics 28 (2003) 2, pp. 365-386
It is generally acknowledged that the growth rate of output, the seasonal pattern, and the business cycle are best estimated simultaneously. To achieve this, we develop an unobserved component time series model for seasonally unadjusted US GDP. Our model incorporates a Markov switching regime to...