This paper first generalizes the trend-cycle decomposition framework of Perron and Wada (2005) based on an unobserved components models with innovations having a mixtures of Normals distribution, which is able to handle sudden level and slope changes to the trend function as well as outliers. We...

This paper first generalizes the trend-cycle decomposition framework of Perron and Wada (2005) based on an unobserved components models with innovations having a mixtures of Normals distribution, which is able to handle sudden level and slope changes to the trend function as well as outliers. We...

This paper first generalizes the trend-cycle decomposition framework of Perron and Wada (2005) based on an unobserved components model with innovations having a mixture of Normal distribution, which is able to handle sudden level and slope changes to the trend function as well as outliers. We...