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Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different?
15 references·16 citing·42 second hop
Why Are Beveridge-Nelson and Unobserved-Component Decompositions of GDP So Different? (2000)Why Are Beveridge-Nelson and Unobserved-C…Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components (1999)Friedman's Plucking Model of …Detrending and business cycle facts (1998)Detrending and business cycle…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…Inventories and the Three Phases of the Business Cycle (1994)Inventories and the Three Pha…Do recessions permanently change output? (1993)Do recessions permanently cha…Detrending, stylized facts and the business cycle (1993)Detrending, stylized facts an…BUSINESS CYCLE ASYMMETRY: A DEEPER LOOK (1993)BUSINESS CYCLE ASYMMETRY: A D…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…The Cyclical Component of U. S. Economic Activity (1987)The Cyclical Component of U. …Univariate detrending methods with stochastic trends (1986)Univariate detrending methods…Trends and Cycles in Macroeconomic Time Series (1985)Trends and Cycles in Macroeco…Are Economic Time Series Asymmetric over the Business Cycle? (1984)Are Economic Time Series Asym…Trends and random walks in macroeconmic time series (1982)Trends and random walks in ma…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…A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output (2017)A Bayesian Model Comparison f…Tracking the Slowdown in Long-Run GDP Growth (2016)Tracking the Slowdown in Long…Expected returns and expected dividend growth: time to rethink an established empirical literature (2014)Expected returns and expected…Comovement in GDP trends and cycles among trading partners (2014)Comovement in GDP trends and …Natural Expectations, Macroeconomic Dynamics, and Asset Pricing (2011)Natural Expectations, Macroec…Monetary Policy Estimation in Real Time: Forward-Looking Taylor Rules without Forward-Looking Data (2011)Monetary Policy Estimation in…The 2008 Financial Crisis and Potential Output in Asia: Impact and Policy Implications (2010)The 2008 Financial Crisis and…Measuring the NAIRU with Reduced Uncertainty: A Multiple-Indicator Common-Cycle Approach (2008)Measuring the NAIRU with Redu…The Slow Adjustment of Aggregate Consumption to Permanent Income (2007)The Slow Adjustment of Aggreg…The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles (2007)The Dynamic Relationship betw…Trend–Cycle Decompositions with Correlated Components (2006)Trend–Cycle Decompositions wi…Granger's representation theorem: A closed‐form expression for I(1) processes (2005)Granger's representation theo…Nonlinear permanent – temporary decompositions in macroeconomics and finance (2003)Nonlinear permanent – tempora…Dissecting the PPP puzzle: the unconventional roles of nominal exchange rate and price adjustments (2003)Dissecting the PPP puzzle: th…Business Cycles and Turning Points: A Survey of Statistical Techniques (2003)Business Cycles and Turning P…The Adjustment of Prices and the Adjustment of the Exchange Rate (2001)The Adjustment of Prices and …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)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Are Output Fluctuations Transitory? (1987)Common stochastic trends in international stock markets (1992)Low frequency filtering and real business cycles (1993)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)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)Tests For Unit Roots: A Monte Carlo Investigation (1988)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)The General Theory of Employment (1937)Short-run equilibrium dynamics of unemployment vacancies, and real wages (1985)Rational-expectations econometric analysis of changes in regime (1988)Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different? (2003)How do business and financial cycles interact? (2012)Macrofinancial History and the New Business Cycle Facts (2017)
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References

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  • 1999Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components

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203 cited

Cited by

  • 2011Natural Expectations, Macroeconomic Dynamics, and Asset Pricing153 cited
  • 2016Tracking the Slowdown in Long-Run GDP Growth135 cited
  • 2003Dissecting the PPP puzzle: the unconventional roles of nominal exchange rate and price adjustments91 cited
  • 2006Trend–Cycle Decompositions with Correlated Components83 cited
  • 2008Measuring the NAIRU with Reduced Uncertainty: A Multiple-Indicator Common-Cycle Approach81 cited
  • 2005Granger's representation theorem: A closed‐form expression for I(1) processes76 cited
  • 2007The Slow Adjustment of Aggregate Consumption to Permanent Income75 cited
  • 2017A Bayesian Model Comparison for Trend‐Cycle Decompositions of Output60 cited
  • 2001The Adjustment of Prices and the Adjustment of the Exchange Rate49 cited
  • 2011Monetary Policy Estimation in Real Time: Forward-Looking Taylor Rules without Forward-Looking Data46 cited
  • 2010The 2008 Financial Crisis and Potential Output in Asia: Impact and Policy Implications42 cited
  • 2003Nonlinear permanent – temporary decompositions in macroeconomics and finance41 cited
  • 2003Business Cycles and Turning Points: A Survey of Statistical Techniques37 cited
  • 2014Expected returns and expected dividend growth: time to rethink an established empirical literature34 cited
  • 2014Comovement in GDP trends and cycles among trading partners34 cited
  • 2007The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles30 cited