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Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index

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Author Info
Michael Dueker (Federal Reserve Bank of St. Louis)
Charles Nelson

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File URL: http://www.research.stlouisfed.org/wp/2002/2002-025.pdf
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Paper provided by University of Washington, Department of Economics in its series Working Papers with number UWEC-2006-13-P.

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Date of creation: Nov 2006
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Publication status: Published in Macroeconomics Dynamics, Volume Vol. 10, pp. 1-22.
Handle: RePEc:udb:wpaper:uwec-2006-13-p

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  1. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2009. "Inflation, monetary policy and stock market conditions: quantitative evidence from a hybrid latent-variable VAR," Working Papers 2008-012, Federal Reserve Bank of St. Louis. [Downloadable!]
  2. Tatsuma Wada & Pierre Perron, 2006. "State Space Model with Mixtures of Normals: Specifications and Applications to International Data," Boston University - Department of Economics - Working Papers Series WP2006-029, Boston University - Department of Economics. [Downloadable!]
  3. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2008. "Inflation, Monetary Policy and Stock Market Conditions," NBER Working Papers 14019, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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This page was last updated on 2009-12-14.

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