This article develops a new method for detrending time series. It is shown how, in a Bayesian framework, a generalized version of the Hodrick-Prescott filter is obtained by specifying prior densities on the signal-to-noise ratio (q) in the underlying unobserved components model. This helps...

The local quadratic trend model provides a flexible response to underlying movements in a macroeconomic time series in its estimates of level and change. If the underlying movements are thought of as a trend plus cycle, an estimate of the cycle may be obtained from the quadratic term. Estimating...

This article reviews recent work on testing for the presence of non-stationary unobserved components and presents it in a unified way. Tests against random walk components and seasonal components are given and it is shown how the procedures may be extended to multivariate models and models with...