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Can we use seasonally adjusted indicators in dynamic factor models?

Camacho, Maximo; Lovcha, Yuliya; Pérez-Quirós, Gabriel - C.E.P.R. Discussion Papers - 2012

We examine the short-term performance of two alternative approaches of forecasting from dynamic factor models. The first approach extracts the seasonal component of the individual indicators before estimating the dynamic factor model, while the alternative uses the non seasonally adjusted data...

Persistent link: https://www.econbiz.de/10011083553

Productivity, energy prices, and the great moderation: A new link

Dhawan, Rajeev; Jeske, Karsten; Silos, Pedro - 2008

We study how total factor productivity (TFP), energy prices, and the Great Moderation are linked. First we estimate a joint stochastic process for the energy price and TFP and establish that until the second quarter of 1982, energy prices negatively affected productivity. This spillover has...

Persistent link: https://www.econbiz.de/10010292361

Are business cycles all alike? A bandmass filter analysis of Italian and US cycles

Napoletano, Mauro; Roventini, Andrea; Sapio, Sandro - 2005

common international drivers, such as the Federal Reserve Bank monetary policy, and international oil prices. …

Persistent link: https://www.econbiz.de/10010328535

Are linear models really unuseful to describe business cycle data?

Lopes, Artur Silva; Zsurkis, Gabriel Florin - 2017

need to use nonlinear models to describe business cycle dynamic behaviour. Their approach is model (estimation)-free, based … frequently useful. Contrarily to common knowledge, nonlinear business cycle variation does not seem to be a universal … nonlinear dynamics for some further countries is obtained indirectly, through unit root tests, but this can hardly be invoked to …

Persistent link: https://www.econbiz.de/10011597173

Seasonal adjustment and the detection of business cycle phases

Matas Mir, Antonio; Osborn, Denise R - 2004

To date, there has been little investigation of the impact of seasonal adjustment on the detection of business cycle expansion and recession regimes. We study this question both analytically and through Monte Carlo simulations. Analytically, we view the occurrence of a single business cycle...

Persistent link: https://www.econbiz.de/10011604403

Growth and volatility regime switching models for New Zealand GDP data

Buckle, Robert A; Haugh, David; Thomson, Peter - 2002

This paper fits hidden Markov switching models to New Zealand GDP data. A primary objective is to better understand the utility of these methods for modelling growth and volatility regimes present in the New Zealand data and their interaction. Properties of the models are developed together with...

Persistent link: https://www.econbiz.de/10012115495

A structural VAR model of the New Zealand business cycle

Buckle, Robert A; Kim, Kunhong; Kirkham, Heather; … - 2002

introduced by Cushman and Zha (1997) and Dungey and Pagan (2000) to identify international and domestic shocks and dynamic … responses to these shocks in a small open economy. The international variables are block exogenous and the model includes …. Key results to emerge are the significant influence of international variables on the New Zealand business cycle, the …

Persistent link: https://www.econbiz.de/10012115513

The impact of monetary policy on New Zealand business cycles and inflation variability

Buckle, Robert A; Kim, Kunhong; McLellan, Nathan - 2003

This paper uses the open economy structural VAR model developed in Buckle, Kim, Kirkham, McLellan and Sharma (2002) to evaluate the impact of monetary policy on New Zealand business cycles and inflation variability and the output/ inflation variance trade-off. The model includes a forward-...

Persistent link: https://www.econbiz.de/10012115526

Is there a Business Cycle Component in Norwegian Macroeconomic Quarterly Time Series?

Skjerpen, Terje - 1995

Some main Norwegian quarterly macroeconomic time series are decomposed into unobserved components within the framework of structural time series models using UCARIMA models. In the most general case we allow for a stationary cyclical component besides a stochastic trend, a stochastic seasonal...

Persistent link: https://www.econbiz.de/10011967912

Why You Should Never Use the Hodrick-Prescott Filter. A Comment on Hamilton (The Review of Economics and Statistics, 2018)

Moura, Alban - In: Journal of Comments and Replications in Economics (JCRE) 3 (2024) 2024-1, pp. 1-17

Hamilton (2018) argues that one should never use the Hodrick-Prescott (HP) filter to detrend economic time series and proposes an alternative approach. This comment reconsiders Hamilton's case against the HP filter, emphasizing two simple points. First, in the empirical example Hamilton...

Persistent link: https://www.econbiz.de/10014529380