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Original Articles

The validity of trend-cycle decomposition using unobserved component model: Monte Carlo evidence

Pages 367-369 | Published online: 25 Mar 2008

References

  • Beveridge , S and Nelson , CR . 1981 . A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle . Journal of Monetary Economics , 7 : 151 – 74 .
  • Clarida , RH and Taylor , MP . 2003 . Nonlinear permanent–temporary decompositions in macroeconomics and finance . Economic Journal , 113 : 125 – 39 .
  • Clark , PK . 1987 . The cyclical component of US economic activity . Quarterly Journal of Economics , 102 : 797 – 814 .
  • Harvey , AC . 1985 . Trends and cycles in macroeconomic time series . Journal of Business and Economic Statistics , 3 : 217 – 27 .
  • Morley , JC , Nelson , CR and Zivot , E . 2003 . Why are Beveridge–Nelson and unobserved-component decompositions of GDP so different? . Review of Economics and Statistics , 85 : 235 – 43 .
  • Nelson , CR . 1988 . Spurious trend and cycle in the state space decomposition of a time series with a unit root . Journal of Economic Dynamics and Control , 12 : 475 – 88 .
  • Watson , MW . 1986 . Univariate detrending methods with stochastic trends . Journal of Monetary Economics , 18 : 49 – 75 .

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