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Perron and Yabu (2008) consider the problem of testing for a break occuring at an unknown date in the trend function of a univariate time series when the noise component can be either stationary or integrated. This paper extends their work by proposing a sequential test that allows one to test...
Persistent link: https://www.econbiz.de/10004994217
Recent work on trend-cycle decompositions for US real GDP yields the following features: methods based on Unobserved Components models, the Beveridge-Nelson decomposition, the Hodrick-Prescott filter and others yield very different cycles which bear little resemblance to the NBER chronology,...
Persistent link: https://www.econbiz.de/10004994224
Recent work on trend-cycle decompositions for US real GDP yields the following puzzling features: methods based on Unobserved Components models, the Beveridge- Nelson decomposition, the Hodrick-Prescott filter and others yield very different cycles which bear little resemblance to the NBER...
Persistent link: https://www.econbiz.de/10005136801