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...

Recent work on trend-cycle decompositions for US real GDP yields the following puzzling features: methods based on Unobserved Components models, the Beveridge- Nelson decomposition, the Hodrick-Prescott filter and others yield very different cycles which bear little resemblance to the NBER...

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...

Recent work on trend-cycle decompositions for US real GDP yields the following features: methods based on Unobserved Components models, the Beveridge-Nelson decomposition, the Hodrick-Prescott filter and others yield very different cycles which bear little resemblance to the NBER chronology,...