decomposition of the GDP in its trend and cycle components, which overcomes the identification problems of models of unobserved … this analysis, we choose the UC-CN model, which presents a mixture of normals in the disturbances of the trend and cycle …

In this paper, we propose a simple methodology for investigating how shocks to trend and cycle are correlated in … changing the identification restriction results in different trend and cycle estimates. …

This paper proposes a new filter technique to separate trend and cycle based on stylised economic properties of trend … and cycle, rather than relying on ad hoc statistical proper-ties such as frequency. Given the theoretical separation … between economic growth and business cycle literature, it is necessary to make the measures of trend and cycle match what the …

In this paper, we propose a simple methodology for investigating how shocks to trend and cycle are correlated in … changing the identification restriction results in different trend and cycle estimates. It is found that estimates of the trend … and cycle can vary substantially depending on the identification restrictions imposed. …

productivity, given all available information; the cycle is thus interpreted as the total excess growth that would be forecasted … those generated by the Hodrick-Prescott filter and with the business cycle data of the OECD. The stability and predictive …

In an unobserved components framework of US output trend and cycle, this paper seeks to determine the causal … dynamics as well as allowing for shifts in volatility are proposed. In the early 1980s, substantial predominance of cycle … shocks gives way to strong negative spillovers of trend impulses, consistent with real business cycle theories. The …

trend and cycle when the variable is integrated of order one (I (1)). This paper considers the multivariate generalization …