Growth cycles are often mistaken for business cycles, although these two have different statistical properties. In order to differentiate between them in a statistically satisfactory manner, the Bayesian information criterion-(BIC) based model-selection approach is presented. Business cycles are...

This article considers six alternative models-the normal model, normal model with parameter change, t model, t model with parameter change, normal and t model and the t and normal model-and the best model is selected using the Bayesian information criterion. The simulation results suggest that...

International evidence on the effects of monetary policy presented by Sims (1992) is reexamined by spectral decompositions as well as by impulse response functions. The results obtained using spectral decompositions suggest that money stock innovations can be regarded as monetary policy shocks,...

The zero-correlation restriction for trend and cycle innovations is empirically examined using an international data set. Unlike the result obtained by Morley et al. (2003), a model with zero-correlation restriction is selected for all nine countries. Since the adequacy of zero-correlation...

The validity of trend-cycle decomposition using the unobserved component model is examined via Monte Carlo simulations. It is shown that the nearer to the unit-root process the assumed cycle component and/or the larger the assumed innovation covariance, the more frequent the occurrence of the...

Many variables used in economic forecasting are recorded with measurement error (ME). It is therefore found that an autoregressive model without exclusion of ME from observed time series may fail to correctly detect any periodicity contained and this results in poor forecasting performances. The...

A new method is developed for detecting regime switches between cointegration and no-cointegration at unknown times allowing for switching lag structure. In this method, time-series observations are divided into several segments, and a regression model with or without cointegration is fitted to...