While Perron and Wada's (2009) maximum likelihood estimation approach suggests that postwar U.S. real GDP follows a trend stationary process (TSP), our Bayesian approach based on the same model and the same sample suggests that it follows a difference stationary process (DSP). We first show...

The Beveridge-Nelson (BN) trend-cycle decomposition based on autoregressive forecasting models of U.S. quarterly real GDP growth produces estimates of the output gap that are strongly at odds with widely-held beliefs about the amplitude, persistence, and even sign of transitory movements in...

The Beveridge-Nelson (BN) trend-cycle decomposition based on autoregressive forecasting models of U.S. quarterly real GDP growth produces estimates of the output gap that are strongly at odds with widely-held beliefs about the amplitude, persistence, and even sign of transitory movements in...