Spurious trend and cycle in the state space decomposition of a time series with a unit root
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- Charles R. Nelson, 1987. "Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root," NBER Technical Working Papers 0063, National Bureau of Economic Research, Inc.
References listed on IDEAS
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- Sargan, J D & Bhargava, Alok, 1983. "Maximum Likelihood Estimation of Regression Models with First Order Moving Average Errors When the Root Lies on the Unit Circle," Econometrica, Econometric Society, vol. 51(3), pages 799-820, May.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Santiago Herrera, 2000. "Determinantes y composición del endeudamiento público en Colombia," IDB Publications (Working Papers) 2110, Inter-American Development Bank.
- Kim Chung-Han, 2000. "Balassa-Samuelson Theory and Predictability of the US/UK Real Exchange Rate," International Economic Journal, Taylor & Francis Journals, vol. 14(3), pages 101-121.
- José Luis Cendejas & Félix-Fernando Muñoz & Nadia Fernández-de-Pinedo, 2017.
"A contribution to the analysis of historical economic fluctuations (1870–2010): filtering, spurious cycles, and unobserved component modeling,"
Springer;Cliometric Society (Association Francaise de Cliométrie), vol. 11(1), pages 93-125, January.
- Cendejas Bueno, José Luis & Muñoz, Félix & Fernández-de-Pinedo, Nadia, 2015. "A contribution to the analysis of historical economic fluctuations (1870-2010): filtering, spurious cycles and unobserved component modelling," Working Papers in Economic Theory 2015/04, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History).
- Samuel Bates & Cheikh Tidiane Ndiaye, 2014.
"Economic Growth from a Structural Unobserved Component Modeling: The Case of Senegal,"
AccessEcon, vol. 34(2), pages 951-965.
- Samuel Bates & Cheikh Tidiane Ndiaye, 2014. "Economic Growth from a Structural Unobserved Component Modeling: The Case of Senegal," Post-Print hal-01291329, HAL.
- Jun Ma & Charles R. Nelson, 2008.
"Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components,"
UWEC-2008-06-R, University of Washington, Department of Economics, revised Sep 2008.
- Ma, Jun & Nelson, Charles R., 2010. "Valid Inference for a Class of Models Where Standard Inference Performs Poorly: Including Nonlinear Regression, ARMA, GARCH, and Unobserved Components," Economics Series 256, Institute for Advanced Studies.
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"Extracting a robust US business cycle using a time-varying multivariate model-based bandpass filter,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 25(4), pages 695-719.
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- Jacky Fayolle, 1993. "Décrire le cycle économique," Revue de l'OFCE, Programme National Persée, vol. 45(1), pages 161-197.
- Bomhoff, E.J., 1991. "Stability of Velocity in the G-7 Countries : A Kalman Filter Approach," Discussion Paper 1991-18, Tilburg University, Center for Economic Research.
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- Heejoon Kang, 2004.
"Inappropriate Detrending and Spurious Cointegration,"
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624, Econometric Society.
- Heejoon Kang, 2006. "Inappropriate Detrending and Spurious Cointegration," Working Papers 2006-14, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy.
- Marta Skrzypczyńska, 2014. "Cyclical Processes in the Polish Economy," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 6(3), pages 153-192, September.
- repec:dau:papers:123456789/12185 is not listed on IDEAS
- D., Ivan, 2017. "Stability of the labour shares: evidence from OECD economies," MPRA Paper 79822, University Library of Munich, Germany.
- Santiago Herrera, 2000. "Determinantes y Composición del Endeudamiento Público en Colombia," Research Department Publications 3105, Inter-American Development Bank, Research Department.
- José Cendejas Bueno & Cecilia Font de Villanueva, 2015. "Convergence of inflation with a common cycle: estimating and modelling Spanish historical inflation from the 16th to the 18th centuries," Empirical Economics, Springer, vol. 48(4), pages 1643-1665, June.
- J. Bradford De Long & Lawrence H. Summers, 1988. "On the Existence and Interpretation of the "Unit Root" in U.S. GNP," NBER Working Papers 2716, National Bureau of Economic Research, Inc.
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