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An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data
16 references·0 citing·36 second hop
An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data (2005)An Alternative Trend-Cycle Decomposition …Dealing with Structural Breaks (2005)Dealing with Structural BreaksHas the Business Cycle Changed and Why? (2002)Has the Business Cycle Change…State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications (2000)State-Space Models with Regim…The Band Pass Filter (1999)The Band Pass FilterMeasuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series (1999)Measuring Business Cycles: Ap…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…Further evidence on breaking trend functions in macroeconomic variables (1997)Further evidence on breaking …Detrending, stylized facts and the business cycle (1993)Detrending, stylized facts an…International Real Business Cycles (1992)International Real Business C…Testing for a Unit Root in a Time Series With a Changing Mean (1990)Testing for a Unit Root in a …The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Great Crash, the Oil Pric…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…How Big Is the Random Walk in GNP? (1988)How Big Is the Random Walk in…Are Output Fluctuations Transitory? (1987)Are Output Fluctuations Trans…Univariate detrending methods with stochastic trends (1986)Univariate detrending methods…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…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Time to Build and Aggregate Fluctuations (1982)A Model of Growth Through Creative Destruction (1990)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Nonstationarity and Level Shifts With an Application to Purchasing Power Parity (1992)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)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Measuring Uncertainty (2015)Testing for a Unit Root in Time Series Regression (1988)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis (2002)Theory ahead of business-cycle measurement (1986)Trying to Explain Home Bias in Equities and Consumption (1999)Effects on Financial Globalization on Developing Countries: Some Empirical Evidence (2004)A Positive Theory of Monetary Policy in a Natural Rate Model (1983)Are Technology Improvements Contractionary? (2006)Fiscal Volatility Shocks and Economic Activity (2015)An Empirical Characterization of the Dynamic Effects of Changes in Government Spending and Taxes on Output (2002)Institutional causes, macroeconomic symptoms: volatility, crises and growth (2003)Why Has U.S. Inflation Become Harder to Forecast? (2007)Credit Spreads and Business Cycle Fluctuations (2012)
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References

  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
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  • 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
  • 1997Further evidence on breaking trend functions in macroeconomic variables2,035 cited
  • 1999The Band Pass Filter1,909 cited
  • 1992International Real Business Cycles1,842 cited
  • 2002Has the Business Cycle Changed and Why?1,515 cited
  • 1988How Big Is the Random Walk in GNP?1,270 cited
  • 1993Detrending, stylized facts and the business cycle1,202 cited
  • 1990Testing for a Unit Root in a Time Series With a Changing Mean1,180 cited
  • 2000State-Space Models with Regime-Switching: Classical and Gibbs Sampling Approaches with Applications1,153 cited
  • 1986Univariate detrending methods with stochastic trends851 cited
  • 1987Are Output Fluctuations Transitory?

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811 cited
  • 2005Dealing with Structural Breaks701 cited
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