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

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  • Michael Dueker

    (Federal Reserve Bank of St. Louis)

  • Charles Nelson

Abstract

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Suggested Citation

  • Michael Dueker & Charles Nelson, 2006. "Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index," Working Papers UWEC-2006-13-P, University of Washington, Department of Economics.
  • Handle: RePEc:udb:wpaper:uwec-2006-13-p
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    File URL: http://www.research.stlouisfed.org/wp/2002/2002-025.pdf
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    Cited by:

    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.
    2. Perron, Pierre & Wada, Tatsuma, 2016. "Measuring business cycles with structural breaks and outliers: Applications to international data," Research in Economics, Elsevier, vol. 70(2), pages 281-303.
    3. 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.
    4. Samuel Standaert & Glenn Rayp, 2015. "Trade Integration And Trade Agreements:Resolving The Endogeneity Problem Through A Qualitative Var," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 15/912, Ghent University, Faculty of Economics and Business Administration.
    5. 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.

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