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Trend‐cycle correlation, drift break and the estimation of trend and cycle in Canadian GDP
16 references·4 citing·42 second hop
Trend‐cycle correlation, drift break and the estimation of trend and cycle in Canadian GDP (2007)Trend‐cycle correlation, drift break and …New measures of the output gap based on the forward-looking new Keynesian Phillips curve (2006)New measures of the output ga…Multiple Structural Change Models: A Simulation Analysis (2006)Multiple Structural Change Mo…Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon? (2005)Regime Changes in Internation…Is Inflation Persistence Intrinsic in Industrial Economies? (2004)Is Inflation Persistence Intr…Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? (2003)Why Are the Beveridge-Nelson …Is Inflation Persistence Intrinsic In Industrial Economies? (2002)Is Inflation Persistence Intr…Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model (1998)Median Unbiased Estimation of…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…Estimating Potential Output as a Latent Variable (1994)Estimating Potential Output a…Chapter 46 Unit roots, structural breaks and trends (1994)Chapter 46 Unit roots, struct…Detrending, stylized facts and the business cycle (1993)Detrending, stylized facts an…The Cyclical Component of U. S. Economic Activity (1987)The Cyclical Component of U. …Univariate detrending methods with stochastic trends (1986)Univariate detrending methods…Unit roots, structural breaks and trends (1986)Unit roots, structural breaks…Trends and Cycles in Macroeconomic Time Series (1985)Trends and Cycles in Macroeco…A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)A new approach to decompositi…When Can Trend-Cycle Decompositions Be Trusted? (2016)When Can Trend-Cycle Decompos…Time-varying equilibrium rates in small open economies: Evidence for Canada (2014)Time-varying equilibrium rate…OUTPUT FLUCTUATIONS IN THE G-7: AN UNOBSERVED COMPONENTS APPROACH (2011)OUTPUT FLUCTUATIONS IN THE G-…Estimating Europe’s natural rates (2010)Estimating Europe’s natural r…A Theory of the Consumption Function (1960)Optimal Properties of Exponentially Weighted Forecasts (1960)Time Series Analysis: Forecasting and Control (1977)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Econometric policy evaluation: A critique (1976)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Forecasting, Structural Time Series Models and the Kalman Filter (1990)Performance of Operational Policy Rules in an Estimated Semi-Classical Structural Model (1998)The robustness of Okun's law: Evidence from OECD countries (2000)Whither Monetary and Financial Stability? The Implications of Evolving Policy Regimes (2007)Tests For Unit Roots: A Monte Carlo Investigation (1988)Chapter 10 Forecasting with Many Predictors (2006)Investigating Inflation Persistence Across Monetary Regimes* (2008)Safety, Liquidity, and the Natural Rate of Interest (2017)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Trends and random walks in macroeconmic time series (1982)Are Output Fluctuations Transitory? (1987)Common stochastic trends in international stock markets (1992)Low frequency filtering and real business cycles (1993)Measuring Business Cycles (1947)Sources of Business Cycle Fluctuations (1988)Variable Trends in Economic Time Series (1988)Permanent and Transitory Components of GNP and Stock Prices (1994)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Macroeconomics and Reality (1980)The Band Pass Filter (1999)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Measuring Uncertainty (2015)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)5 Stochastic volatility (1996)Forecasting inflation (1999)Forecasting Output and Inflation: The Role of Asset Prices (2003)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Common Stochastic Trends in a System of Exchange Rates (1989)The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time (2005)The Asymmetric Business Cycle (2010)Less than 2 °C warming by 2100 unlikely (2017)Long-horizon regressions: theoretical results and applications (2003)Chapter 53 The evolution of city size distributions (2004)On the Evolution of Firm Size Distributions (2008)
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References

  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
  • 1993Detrending, stylized facts and the business cycle1,202 cited
  • 1986Univariate detrending methods with stochastic trends851 cited
  • 1987The Cyclical Component of U. S. Economic Activity741 cited
  • 1985Trends and Cycles in Macroeconomic Time Series688 cited
  • 2003Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?542 cited
  • 1994Estimating Potential Output as a Latent Variable452 cited
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  • 1998Median Unbiased Estimation of Coefficient Variance in a Time-Varying Parameter Model365 cited
  • 2006Multiple Structural Change Models: A Simulation Analysis310 cited
  • 1994Chapter 46 Unit roots, structural breaks and trends243 cited
  • 2004Is Inflation Persistence Intrinsic in Industrial Economies?218 cited
  • 2002Is Inflation Persistence Intrinsic In Industrial Economies?149 cited
  • 2005Regime Changes in International Real Interest Rates: Are They a Monetary Phenomenon?

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142 cited
  • 2006New measures of the output gap based on the forward-looking new Keynesian Phillips curve121 cited
  • Cited by

    • 2011OUTPUT FLUCTUATIONS IN THE G-7: AN UNOBSERVED COMPONENTS APPROACH32 cited
    • 2014Time-varying equilibrium rates in small open economies: Evidence for Canada30 cited
    • 2010Estimating Europe’s natural rates17 cited
    • 2016When Can Trend-Cycle Decompositions Be Trusted?16 cited