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Trend-cycle decomposition models with smooth-transition parameters: Evidence from US economic time series
Koopman, Siem Jan; Lee, Kai Ming; Wong, Soon Yip - In: Nonlinear time series analysis of business cycles, (pp. 199-219). 2006
Persistent link: https://www.econbiz.de/10003312252
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What are the differences in trend cycle decompositions by Beveridge and Nelson and by unobserved component models?
Iwata, Shigeru; Li, Han - In: Econometric reviews 34 (2015) 1/5, pp. 146-173
Persistent link: https://www.econbiz.de/10011373299
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The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
In this paper we investigate whether the dynamic properties of the U.S. business cycle have changed in the last fifty years. For this purpose we develop a flexible business cycle indicator that is constructed from a moderate set of macroeconomic time series. The coincident economic indicator is...
Persistent link: https://www.econbiz.de/10011376640
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The time-varying effects of permanent and transistory shocks to real output
Keating, John William; Valcarcel, Victor J. - In: Macroeconomic dynamics 19 (2015) 3, pp. 477-507
Persistent link: https://www.econbiz.de/10011308634
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Trend dominance in macroeconomic fluctuations
Shibayama, Katsuyuki - 2015
concern about the convention that the non-stationary data is detrended in standard DSGE-type structural estimation, in the …
Persistent link: https://www.econbiz.de/10011342928
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Decomposition of time-series by level and change
Tessier, Thomas H.; Armstrong, Jon Scott - In: Journal of business research : JBR 68 (2015) 8, pp. 1755-1758
Persistent link: https://www.econbiz.de/10011317067
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Stylized facts of business cycle in the Philippines : evidences from different detrending methods
Uy, Edgar Allan M.; Pizarro-Uy, Anna Corinna D. - In: The empirical economics letters : a monthly … 13 (2014) 10, pp. 1115-1122
Persistent link: https://www.econbiz.de/10010527309
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Online spot volatility-estimation and decomposition with nonlinear market microstructure noise models
Dahlhaus, Rainer; Neddermeyer, Jan Christoph - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 174-212
Persistent link: https://www.econbiz.de/10010233600
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An unobserved components model that yields business and medium-run cycles
Ma, Jun; Wohar, Mark E. - In: Journal of money, credit and banking : JMCB 45 (2013) 7, pp. 1351-1373
Persistent link: https://www.econbiz.de/10010197461
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End-point bias in trend-cycle decompositions : an application to the real exchange rates of Turkey
Ekinci, Mehmet Fatih; Kabaş, Gazi; Sunel, Enes - In: Central Bank review / The Central Bank of the Republic … 13 (2013) 3, pp. 61-71
Persistent link: https://www.econbiz.de/10010340421