The Beveridge-Nelson decomposition defines the trend component in terms of the eventual forecast function, as the value the series would take if it were on its long-run path. The paper in-troduces the multistep Beveridge-Nelson decomposition, which arises when the forecast function is obtained...

We apply a recently proposed Bayesian model selection technique, known as stochastic model specification search, for characterising the nature of the trend in macroeconomic time series. We illustrate that the methodology can be quite successfully applied to discriminate between stochastic and...

Structural change affects the estimation of economic signals, like the underlying growth rate or the seasonally adjusted series. An important issue, which has at- tracted a great deal of attention also in the seasonal adjustment literature, is its detection by an expert procedure. The...