This paper argues, using Monte Carlo experiments, that bivariate correlated unobserved components (UC) framework delivers more accurate estimation results for trend and cycle parameters than the univariate framework. The paper estimates stochastic trend and cyclical fluctuations in Canada from a...

Recent work on trend-cycle decompositions for US real GDP yields the following puzzling features: method based on Unobserved Components models, the Beveridge-Nelson decomposition, the Hodrick-Prescott filter and others yield very different cycles which bears little resemblance to the NBER...