Any non-stationary series can be decomposed into permanent (or "trend") and transitory (or "cycle") components. Typically some atheoretic pre-filtering procedure is applied to extract the permanent component. This paper argues that analysis of the fundamental underlying stationary economic...

A predictive regression for y(t) and a time series representation of the predictors, x(t), together imply a univariate reduced form for y(t). In this paper we work backwards, and ask: if we observe y(t), what do its univariate properties tell us about any x(t) in the "predictive space"...