We introduce a nonlinear semi-parametric model that allows for the robust filtering of a common stochastic trend in a multivariate system of cointegrated time series. The observation-driven stochastic trend can be specified using flexible updating mechanisms. The model provides a general...

We develop a multivariate unobserved components model to extract business cycle and financial cycle indicators from a panel of economic and financial time series of four large developed economies. Our model is flexible and allows for the inclusion of cycle components in different selections of...