Multivariate detrending under common trend restrictions: Implications for business cycle research

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Multivariate detrending under common trend restrictions: Implications for business cycle research

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Kozicki, Sharon

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Sharon Kozicki

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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 23 (1999)
Issue (Month): 7 (June)
Pages: 997-1028
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Handle: RePEc:eee:dyncon:v:23:y:1999:i:7:p:997-1028

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Paper
- Sharon Kozicki, 1996. "Multivariate detrending under common trend restrictions: implications for business cycle research," Research Working Paper 96-01, Federal Reserve Bank of Kansas City. [Downloadable!]

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Athanasios Orphanides & Simon van Norden, 1999. "The reliability of output gap estimates in real time," Finance and Economics Discussion Series 1999-38, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
Other versions:
- Athanasios Orphanides & Simon van Norden, 1999. "The Reliability of Output Gap Estimates in Real Time," Macroeconomics 9907006, EconWPA. [Downloadable!]
- Athanasios Orphanides & Simon Van_Norden, 2000. "The Reliability of Output Gap Estimates in Real Time," Econometric Society World Congress 2000 Contributed Papers 0768, Econometric Society. [Downloadable!]
- Athanasios Orphanides & Simon van Norden, 2001. "The Unreliability of Output Gap Estimates in Real Time," CIRANO Working Papers 2001s-57, CIRANO. [Downloadable!]
- Athanasios Orphanides & Simon van Norden, 2002. "The Unreliability of Output-Gap Estimates in Real Time," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 569-583, 07. [Downloadable!] (restricted)
Donald Robertson & Anthony Garratt & Stephen Wright, 2006. "Permanent vs transitory components and economic fundamentals," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 521-542. [Downloadable!]
Other versions:
- Anthony Garratt & Donald Robertson & Stephen Wright, 2005. "Permanent vs Transitory Components and Economic Fundamentals," Birkbeck Working Papers in Economics and Finance 0501, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
Sharon Kozicki & P.A. Tinsley, 1998. "Vector rational error correction," Research Working Paper 98-03, Federal Reserve Bank of Kansas City. [Downloadable!]
Other versions:
- Kozicki, Sharon & Tinsley, P. A., 1999. "Vector rational error correction," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1299-1327, September. [Downloadable!] (restricted)
Michael J. Dueker & Charles R. Nelson, 2003. "Business cycle detrending of macroeconomic data via a latent business cycle index," Working Papers 2002-025, Federal Reserve Bank of St. Louis. [Downloadable!]
Amano, Robert & Coletti , Don & Murchison , Stephen, 2000. "Empirical Estimation and the Quarterly Projection Model: An Example Focusing on the External Sector," Working Paper Series 104, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
Julio J. Rotemberg, 1999. "A Heuristic Method for Extracting Smooth Trends from Economic Time Series," NBER Working Papers 7439, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Other versions:
- Julio Rotemberg, 1999. "Matlab code for A Method for Decomposing Time Series into Trend and Cycle Components," QM&RBC Codes 75, Quantitative Macroeconomics & Real Business Cycles. [Downloadable!]
Russell Barnett & Sharon Kozicki & Christopher Petrinec, 2009. "Parsing shocks: real-time revisions to gap and growth projections for Canada," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 247-266. [Downloadable!]
Fiona Atkins, 2005. "Financial Crises and Money Demand in Jamaica," Birkbeck Working Papers in Economics and Finance 0512, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
Tahsin Saadi-Sedik & Joannes Mongardini, 2003. "Estimating Indexes of Coincident and Leading Indicators: An Application to Jordan," IMF Working Papers 03/170, International Monetary Fund. [Downloadable!]

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