Trend/cycle decomposition of regime-switching processes

DOI10.1016/J.JECONOM.2008.08.009MaRDI QIDQ299214zbMATH OpenOpenAlexFDO

Authors Jeremy Piger, James Morley

Publication date 22 June 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2008.08.009

zbMATH Keywords

forecastingnonlinearunobserved componentsfilteringMarkov switching

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A state-space approach to calculating the Beveridge-Nelson decomposition.
• Alternative definitions of the business cycle and their implications for business cycle models: A reply to Torben Mark Pederson.
• Are output fluctuations transitory?
• Geometric equivalence of groups.
• Non-Gaussian State-Space Modeling of Nonstationary Time Series
• On Gibbs sampling for state space models
• The Beveridge-Nelson decomposition of Markov-switching processes
• The zero-information-limit condition and spurious inference in weakly identified models

Cited in

(7)

• Chapter 8 Trend-Cycle Decomposition Models with Smooth-Transition Parameters: Evidence from U.S. Economic Time Series
• What are the Differences in Trend Cycle Decompositions by Beveridge and Nelson and by Unobserved Component Models?
• Markov-switching and the Beveridge-Nelson decomposition: has US output persistence changed since 1984?
• Does the survey of professional forecasters help predict the shape of recessions in real time?
• Regime switching models for circular and linear time series
• Trend-cycle detection as a filtering problem
• Trend and cycle decomposition of Markov switching (co)integrated time series

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