The equivalence of the Beveridge-Nelson decomposition and the trend-cycle decomposition is well established. In this paper we argue that this equivalence is almost immediate when a Gaussian score-driven location model is considered. We also provide a natural extension towards heavy-tailed...

The equivalence of the Beveridge-Nelson decomposition and the trend-cycle decomposition is well established. In this paper we argue that this equivalence is almost immediate when a Gaussian score-driven location model is considered. We also provide a natural extension towards heavy-tailed...

Using two standard cycle methodologies (classical and deviation cycle) and a comprehensive sample of 83 countries worldwide, including all developing regions, we show that the Latin American and Caribbean cycle exhibits two distinctive features. First, and most important, its expansion...