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Trends and cycles in economic time series: A Bayesian approach

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Author Info
Harvey, Andrew C.
Trimbur, Thomas M.
Van Dijk, Herman K.

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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 140 (2007)
Issue (Month): 2 (October)
Pages: 618-649
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Handle: RePEc:eee:econom:v:140:y:2007:i:2:p:618-649

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  1. Drew Creal & Siem Jan Koopman & Eric Zivot, 2008. "The effect of the great moderation on the U.S. business cycle in a time-varying multivariate trend-cycle model," Working Papers UWEC-2008-15, University of Washington, Department of Economics. [Downloadable!]
    Other versions:
  2. Bernardi, Mauro & Della Corte, Giuseppe & Proietti, Tommaso, 2008. "Extracting the Cyclical Component in Hours Worked: a Bayesian Approach," MPRA Paper 8967, University Library of Munich, Germany. [Downloadable!]
  3. James H. Stock & Mark W. Watson, 2006. "Why Has U.S. Inflation Become Harder to Forecast?," NBER Working Papers 12324, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Christophe Planas & Alessandro Rossi & Gabriele Fiorentini, 2008. "The marginal likelihood of Structural Time Series Models, with application to the euroareaa nd US NAIRU," Working Paper Series 21-08, Rimini Centre for Economic Analysis, revised Jan 2008. [Downloadable!]
  5. James M. Nason & John H. Rogers, 2008. "Exchange rates and fundamentals: a generalization," International Finance Discussion Papers 948, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  6. Alicia N. Rambaldi & D.S. Prasada Rao & K. Renuka Ganegodage, 2009. "Spatial Autocorrelation and Extrapolation of Purchasing Power Parities. Modelling and Sensitivity Analysis," CEPA Working Papers Series WP012009, School of Economics, University of Queensland, Australia. [Downloadable!]
  7. Anthony Garratt & Kevin Lee & Emi Mise & Kalvinder Shields, 2006. "Real Time Representation of the UK Output Gap in the Presence of Trend Uncertainty," Birkbeck Working Papers in Economics and Finance 0618, Birkbeck, School of Economics, Mathematics & Statistics. [Downloadable!]
  8. D.S. Prasada Rao & Alicia Rambaldi & Howard Doran, 2008. "A Method to Construct World Tables of Purchasing Power Parities and Real Incomes Based on Multiple Benchmarks and Auxiliary Information: Analytical and Empirical Results," CEPA Working Papers Series WP052008, School of Economics, University of Queensland, Australia. [Downloadable!]
  9. Harvey, A., 2008. "Modeling the Phillips curve with unobserved components," Cambridge Working Papers in Economics 0805, Faculty of Economics, University of Cambridge. [Downloadable!]
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