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Trend in cycle or cycle in trend? New structural identifications for unobserved-components models of U.S. real GDP

Citation

Dungey, MH and Jacobs, J and Tian, J and Norden Van, S, Trend in cycle or cycle in trend? New structural identifications for unobserved-components models of U.S. real GDP, Macroeconomic Dynamics, 19, (4) pp. 776-790. ISSN 1365-1005 (2015) [Refereed Article]

Copyright Statement

Copyright 2014 Cambridge University Press

DOI: doi:10.1017/S1365100513000606

Abstract

A 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.

Item Details

Item Type:Refereed Article
Keywords:Trend-Cycle Decomposition, Data Revision, State-Space Form
Research Division:Economics
Research Group:Applied Economics
Research Field:Macroeconomics (incl. Monetary and Fiscal Theory)
Objective Division:Economic Framework
Objective Group:Macroeconomics
Objective Field:Economic Growth
Author:Dungey, MH (Professor Mardi Dungey)
Author:Jacobs, J (Associate Professor Jan Jacobs)
Author:Tian, J (Dr Jing Tian)
ID Code:92786
Year Published:2015 (online first 2014)
Web of Science® Times Cited:1
Deposited By:Tasmanian School of Business and Economics
Deposited On:2014-06-27
Last Modified:2018-04-05
Downloads:0

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