Title of article
Let’s takeabreak:TrendsandcyclesinUSrealGDP
Author/Authors
PierrePerron، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2008
Pages
17
From page
749
To page
765
Abstract
Trend–cycledecompositionsforUSrealGDPsuchastheunobservedcomponents
models,theBeveridge–Nelsondecomposition,theHodrick–Prescottfilterandothers
yield verydifferentcycleswhichbearlittleresemblancetotheNBERchronology,
ascribesmuchmovementstothetrendleavinglittletothecycle,andsomeimplya
negativecorrelationbetweenthenoisetothecycleandthetrend.Wearguethatthese
featuresareartifactscreatedbytheneglectofachangeintheslopeofthetrend
function.Oncethisisaccountedfor,allmethodsyieldthesamecyclewithatrendthatis
non-stochasticexceptforafewperiodsaround1973.Thecycleismoreimportantin
magnitudethanpreviouslyreportedanditaccordswellwiththeNBERchronology.Our
results arecorroboratedusinganalternativetrend–cycledecompositionbasedona
generalizedunobservedcomponentsmodelswitherrorshavingamixtureofnormals
distributionforboththeslopeofthetrendfunctionandthecyclicalcomponent.
Keywords
Trend–cycledecompositionStructuralchangeNon-GaussianfilteringUnobservedcomponentsmodelBeveridge–Nelsondecomposition
Journal title
Journal of Monetary Economics
Serial Year
2008
Journal title
Journal of Monetary Economics
Record number
846329
Link To Document