An unobserved components model that yields business and medium-run cycles

We generalize the unobserved components (UC) model to allow the permanent component to have different dynamics than the transitory components when decomposing U.S. economic activity using a multivariate UC model of (log) output, consumption, and investment. We find that these proposed dynamics in th...

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Bibliographic Details

Main Authors:	Jun Ma, Mark Wohar
Format:	Default Article
Published:	2013
Subjects:	Other commerce, management, tourism and services not elsewhere classified C32 E32 Unobserved components model Trend-cycle decomposition Business and Management not elsewhere classified
Online Access:	https://hdl.handle.net/2134/15151
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