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On the model-based interpretation of filters and the reliability of trend-cycle estimates

Proietti, Tommaso - In: Econometric reviews 28 (2009) 1/3, pp. 186-208

Persistent link: https://www.econbiz.de/10003800723

Méthodes dʾinférence exactes pour un modèle de régression avec erreurs AR(2) Gaussiennes

Dufour, Jean-Marie; Neifar, Malika - In: L' Actualité économique : revue trimest. 80 (2004) 4, pp. 593-618

Persistent link: https://www.econbiz.de/10003147174

Business cycle asymmetries : characterization and testing based on Markov-Switching autoregressions

Clements, Michael P.; Krolzig, Hans-Martin - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 1, pp. 196-211

Persistent link: https://www.econbiz.de/10001728896

Trend-stationary GNP : evidence from a new exact pointwise most powerful invariant unit root test

Shively, Philip A. - In: Journal of applied econometrics 16 (2001) 4, pp. 537-551

Persistent link: https://www.econbiz.de/10001601913

Modeling cyclical behavior with differential-difference equations in an unobserved components framework

Chambers, Marcus J.; MacGarry, Joanne - In: Econometric theory 18 (2002) 2, pp. 387-419

Persistent link: https://www.econbiz.de/10001661304

Trend and cycles in US real GDP

Flaig, Gebhard - 2001

In this paper an Unobserved Components Model is employed to decompose U.S. real GDP into trend and cycle components. The main findings are that there exist three cycles with a period of about two, five and 13 years, respectively, and that the long-run development during the last 50 years can be...