This paper considers the macroeconomic effects of shocks with different persistence properties identified from surveys of expectations. Using a GARCH-in-Mean model for the US, we present persistence profiles to illustrate how news about events occurring over different time frames plays different...

The Hodrick-Prescott filter is often applied to economic series as part of the study of business cycles. Its properties have most frequently been explored through the development of essentially asymptotic results which are practically relevant only some distance from series endpoints. Our...

Alternative methods for the seasonal adjustment of economic data are described that operate in the time domain and in the frequency domain. The time-domain method, which employs a classical comb filter, mimics the effects of the model-based procedures of the SEATS–TRAMO and STAMP programs. The...