A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...

A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...

A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...

We develop a flexible semi-parametric method for the introduction of time‐varying parameters in a model‐based signal extraction procedure. Dynamic model specifications for the parameters in the model are not required. We show that signal extraction based on Kalman filtering and smoothing can...

This paper is part of author's Master Thesis Chaos in emerging capital market: an empirical study on the Jakarta Stock Exchange. Some evidences of the existence of chaotic system proved by chaos researches on the developed market as conducted by some researchers strongly motivate us to try to...

In various fields of macroeconomic modelling, researchers often face the problem of decomposing time series into trend component and cycle fluctuations. While there are several potentially useful methods to perform the task in question, Hodrick-Prescott (HP) fi lter seems to have remained...

A growing number of empirical studies provides evidence that dynamic properties of macroeconomic time series have been changing over time. Model-based procedures for the measurement of business cycles should therefore allow model parameters to adapt over time. In this paper the time dependencies...

I provide conditions under which the trimmed FDQML estimator, advanced by McCloskey (2010) in the context of fully parametric short-memory models, can be used to estimate the long-memory stochastic volatility model parameters in the presence of additive low-frequency contamination in log-squared...

This paper discusses a few interpretative issues arising from trend- cycle decompositions with correlated components. We determine the conditions under which correlated components may originate from: underestimation of the cyclical component; a cycle in growth rates, rather than in the levels;...

Two possibilities of analysis of economic cycles are studied in this document. Firstly, filter-design approaches consisting of the extraction of the information content of certain signals between two specific frequencies, as well as below or above certain frequencies. Secondly, model-based...