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Trend in cycle or cycle in trend? New structural identifications for unobserved-components models of U.S. real GDP
journal contribution
posted on 2023-05-18, 01:46 authored by Dungey, MH, Jacobs, J, Jing TianJing Tian, Norden Van, SA well-documented property of the Beveridge–Nelson trend–cycle decomposition is the perfect negative correlation between trend and cycle innovations. We show how this may be consistent with a structural model where permanent innovations enter the cycle or transitory innovations enter the trend, and that identification restrictions are necessary to make this structural distinction. A reduced-form unrestricted version is compatible with either option, but cannot distinguish which is relevant. We discuss economic interpretations and implications using U.S. real GDP data.
History
Publication title
Macroeconomic DynamicsVolume
19Issue
4Pagination
776-790ISSN
1365-1005Department/School
TSBEPublisher
Cambridge Univ PressPlace of publication
40 West 20Th St, New York, USA, Ny, 10011-4211Rights statement
Copyright 2014 Cambridge University PressRepository Status
- Restricted