create a website

Business cycle detrending of macroeconomic data via a latent business cycle index. (2003). Nelson, Charles.
In: Working Papers.
RePEc:fip:fedlwp:2002-025.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 13

References cited by this document

Cocites: 67

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Linking real activity and financial markets: the first steps towards a small estimated model for Canada. (2005). Li, Fuchun ; Gauthier, Celine .
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:22-15.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Albert, J.H. and Chib, S. (1993), Bayesian Analysis of Binary and Polychotomous Re- sponse Data, Journal of the American Statistical Association 88, 669-79.
    Paper not yet in RePEc: Add citation now
  2. Ari~ no, Miguel A. and Newbold, Paul (1998), Computation of the Beveridge-Nelson De- composition for Multivariate Economic Time Series, Economics Letters 61, 37-42.

  3. Baxter, Marianne and King, Robert G. (1999), Measuring Business Cycles: Approximate Band-Pass Filters for Economic Time Series, Review of Economics and Statistics 81, 575-93.

  4. Beveridge, Stephen and Nelson, Charles R. (1981), A New Approach to the Decom- position of Economic Time Series into Permanent and Transitory Components with Particular Attention to Measurement of the Business Cycle, Journal of Monetary Economics 7, 151-74.

  5. Cochrane, John H. (1994), Permanent and Transitory Components of GNP and Stock Prices, Quarterly Journal of Economics 109, 241-65.

  6. Dueker, M. (1999), Conditional Heteroscedasticity in Qualitative Response Models of Time Series: A Gibbs Sampling Approach to the Bank Prime Rate, Journal of Busi- ness and Economic Statistics 17, 466-472.

  7. Dueker, M. (2001): Forecasting Qualitative Variables with Vector Autoregressions: A Qual VAR Model of U.S. Recessions, Federal Reserve Bank of St. Louis Working Paper 2001-012.

  8. Harvey, Andrew C. and Jaeger, A. (1993), Detrending, Stylized Facts and the Business Cycle, Journal of Applied Econometrics 8, 231-47.

  9. Kim, Chang-Jin and Nelson, Charles R. (1999), Friedmans Plucking Model of Busi- ness Fluctuations: Tests and Estimates of Permanent and Transitory Components, Journal of Money, Credit and Banking 31, 317-34.

  10. King, Robert G., Plosser, Charles I., Stock, James H. and Watson, Mark W. (1991) Stochastic Trends and Economic Fluctuations, American Economic Review 81, 819- 40.

  11. Kozicki, Sharon. (1999), Multivariate Detrending under Common Trend Restrictions: Implications for Business Cycle Research, Journal of Economic Dynamics and Con- trol 23, 997-1028.

  12. Meyer, Laurence H. (1996), BIS Review, 19 September, 1996, 3-7.
    Paper not yet in RePEc: Add citation now
  13. Morley, James, Nelson, Charles R. and Zivot, Eric. (2002), Why Are Unobserved Com- ponent and Beveridge-Nelson Trend-Cycle Decompositions of GDP So Different? Re- view of Economics and Statistics, forthcoming.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application. (2024). van Brummelen, Janneke ; Koopman, Siem Jan ; Gorgi, Paolo ; Blasques, Francisco.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20240062.

    Full description at Econpapers || Download paper

  2. Trinity Strikes Back: Monetary Independence and Inflation in the Caribbean. (2019). Cevik, Serhan ; Zhu, Tianle.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2019/197.

    Full description at Econpapers || Download paper

  3. Shari’ah (islamic)compliant investments in Malaysia: influences of selected stock indices and their trend/cycle decomposition equity. (2016). Masih, Abul ; Kamil, Nazrol.
    In: MPRA Paper.
    RePEc:pra:mprapa:100955.

    Full description at Econpapers || Download paper

  4. The Impact of Financial Crisis on Electricity Demand: A Case Study of North China. (2016). Hu, Yuou ; Guo, Sen ; Zhao, Huiru ; Li, Fuqiang.
    In: Energies.
    RePEc:gam:jeners:v:9:y:2016:i:4:p:250-:d:66824.

    Full description at Econpapers || Download paper

  5. Trend Dominance in Macroeconomic Fluctuations. (2015). Shibayama, Katsuyuki.
    In: Studies in Economics.
    RePEc:ukc:ukcedp:1518.

    Full description at Econpapers || Download paper

  6. Lindustrialisation de lAfrique: limportance des facteurs structurels et du régime de change.. (2014). KAFANDO, Namalguebzanga.
    In: MPRA Paper.
    RePEc:pra:mprapa:68736.

    Full description at Econpapers || Download paper

  7. A New Real-Time Indicator for the Euro Area GDP. (2012). Buss, Ginters.
    In: Working Papers.
    RePEc:ltv:wpaper:201202.

    Full description at Econpapers || Download paper

  8. Optimal Linear Filtering, Smoothing and Trend Extraction for Processes with Unit Roots and Cointegration. (2008). Thomakos, Dimitrios.
    In: Working Paper series.
    RePEc:rim:rimwps:14_08.

    Full description at Econpapers || Download paper

  9. Markov-switching and the Beveridge-Nelson decomposition: Has US output persistence changed since 1984?. (2008). Kim, Chang-Jin.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:146:y:2008:i:2:p:227-240.

    Full description at Econpapers || Download paper

  10. The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics. (2008). Creal, Drew ; Oh, Kum Hwa ; Zivot, Eric.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:146:y:2008:i:2:p:207-219.

    Full description at Econpapers || Download paper

  11. Permanent vs transitory components and economic fundamentals. (2006). wright, stephen ; Robertson, Donald ; Garratt, Anthony.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:21:y:2006:i:4:p:521-542.

    Full description at Econpapers || Download paper

  12. The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks. (2006). Creal, Drew ; Oh, Kum Hwa ; Zivot, Eric.
    In: Working Papers.
    RePEc:udb:wpaper:uwec-2006-16-fc.

    Full description at Econpapers || Download paper

  13. Learning the inflation target. (2005). Nunes, Ricardo.
    In: Macroeconomics.
    RePEc:wpa:wuwpma:0504033.

    Full description at Econpapers || Download paper

  14. Regulation and macroeconomic performance. (2005). Servén, Luis ; Loayza, Norman ; Oviedo, Ana Maria.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:3469.

    Full description at Econpapers || Download paper

  15. The Thick Market Effect on Local Unemployment Rate Fluctuations. (2005). zhang, qinghua ; Gan, Li.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11248.

    Full description at Econpapers || Download paper

  16. INFLATION DYNAMICS AND NOMINAL ADJUSTMENT IN THE BALTIC STATES. (2005). Staehr, Karsten ; Masso, Jaan.
    In: University of Tartu - Faculty of Economics and Business Administration Working Paper Series.
    RePEc:mtk:febawb:35.

    Full description at Econpapers || Download paper

  17. Financial Crises and Money Demand in Jamaica. (2005). Atkins, Fiona .
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:0512.

    Full description at Econpapers || Download paper

  18. Permanent vs Transitory Components and Economic Fundamentals. (2005). wright, stephen ; Robertson, Donald ; Garratt, Anthony.
    In: Birkbeck Working Papers in Economics and Finance.
    RePEc:bbk:bbkefp:0501.

    Full description at Econpapers || Download paper

  19. ECONOMICAL VERSUS POLITICAL CYCLES IN AN IBERIAN MANUFACTURING SECTOR. (2004). Manso, Jose Ramos.
    In: Industrial Organization.
    RePEc:wpa:wuwpio:0404003.

    Full description at Econpapers || Download paper

  20. Unemployment - poverty trade-offs. (2004). Agénor, Pierre-Richard.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:3297.

    Full description at Econpapers || Download paper

  21. Volatility and growth. (2004). Loayza, Norman ; Hnatkovska, Viktoria.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:3184.

    Full description at Econpapers || Download paper

  22. Identifying the Cycle of a Macroeconomic Time-Series Using Fuzzy Filtering. (2004). Giles, David ; Stroomer, Chad N..
    In: Econometrics Working Papers.
    RePEc:vic:vicewp:0406.

    Full description at Econpapers || Download paper

  23. Monetary Policy Rules, Asset Prices and Exchange Rates. (2004). .
    In: CDMA Working Paper Series.
    RePEc:san:cdmawp:0403.

    Full description at Econpapers || Download paper

  24. When it Rains, it Pours: Procyclical Capital Flows and Macroeconomic Policies. (2004). Vegh, Carlos ; Reinhart, Carmen ; Kaminsky, Graciela.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10780.

    Full description at Econpapers || Download paper

  25. Determinants of Business Cycle Comovement: A Robust Analysis. (2004). Kouparitsas, Michael ; Baxter, Marianne.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10725.

    Full description at Econpapers || Download paper

  26. Technology Shocks and Aggregate Fluctuations: How Well Does the RBS Model Fit Postwar U.S. Data?. (2004). Rabanal, Pau ; Galí, Jordi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10636.

    Full description at Econpapers || Download paper

  27. Slow Recoveries. (2004). Repetto, Andrea ; Bergoeing, Raphael ; Loayzaw, Norman.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10584.

    Full description at Econpapers || Download paper

  28. A Time Varying Natural Rate of Interest for the Euro Area. (2004). Renne, Jean-Paul ; Mésonnier, Jean-Stéphane ; Mesonnier, Jean-Stephane.
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:42.

    Full description at Econpapers || Download paper

  29. Inside the black box: permanent vs transitory components and economic fundamentals. (2004). wright, stephen ; Robertson, Donald ; Garratt, Anthony.
    In: Money Macro and Finance (MMF) Research Group Conference 2003.
    RePEc:mmf:mmfc03:35.

    Full description at Econpapers || Download paper

  30. How Similar Are European Business Cycles?. (2004). Bergman, Michael.
    In: Working Papers.
    RePEc:hhs:lunewp:2004_009.

    Full description at Econpapers || Download paper

  31. Workweek flexibility and hours variation. (2004). Figura, Andrew.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2004-59.

    Full description at Econpapers || Download paper

  32. Technology Shocks Matter. (2004). Fisher, Jonas.
    In: Econometric Society 2004 North American Winter Meetings.
    RePEc:ecm:nawm04:14.

    Full description at Econpapers || Download paper

  33. Productivity and the Natural Rate of Unemployment. (2004). Slacalek, Jiri.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp461.

    Full description at Econpapers || Download paper

  34. Challenges of Trending Time Series Econometrics. (2004). Phillips, Peter.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1472.

    Full description at Econpapers || Download paper

  35. Dating the Italian Business Cycle: A Comparison of Procedures. (2003). Otranto, Edoardo ; Bruno, Giancarlo.
    In: Econometrics.
    RePEc:wpa:wuwpem:0312003.

    Full description at Econpapers || Download paper

  36. Signal Extraction in Continuous Time and the Generalized Hodrick- Prescott Filter. (2003). Otranto, Edoardo ; Iannaccone, Roberto.
    In: Econometrics.
    RePEc:wpa:wuwpem:0311002.

    Full description at Econpapers || Download paper

  37. Contracting models of the Phillips curve - empirical estimates for Middle-income countries. (2003). Agénor, Pierre-Richard ; Bayraktar, Nihal.
    In: Policy Research Working Paper Series.
    RePEc:wbk:wbrwps:3139.

    Full description at Econpapers || Download paper

  38. Statistical Nonlinearities in the Business Cycle. (2003). Valderrama, Diego.
    In: Computing in Economics and Finance 2003.
    RePEc:sce:scecf3:219.

    Full description at Econpapers || Download paper

  39. The business cycle of European countries Bayesian clustering of country - individual IP growth series. (2003). Kaufmann, Sylvia.
    In: Working Papers.
    RePEc:onb:oenbwp:83.

    Full description at Econpapers || Download paper

  40. Germany and the European Business Cycle - An Analysis of Causal Relations in an International Real Business Cycle Model. (2003). Fichtner, Ferdinand.
    In: IWP Discussion Paper Series.
    RePEc:kln:iwpdip:dp01/03.

    Full description at Econpapers || Download paper

  41. Modelling trends in central England temperatures. (2003). Harvey, David ; Mills, Terence C..
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:22:y:2003:i:1:p:35-47.

    Full description at Econpapers || Download paper

  42. On detrending and cyclical asymmetry. (2003). Sola, Martin ; Psaradakis, Zacharias.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:18:y:2003:i:3:p:271-289.

    Full description at Econpapers || Download paper

  43. Dating the Euro Area Business Cycle. (2003). Proietti, Tommaso ; Marcellino, Massimiliano.
    In: Working Papers.
    RePEc:igi:igierp:237.

    Full description at Econpapers || Download paper

  44. Turkey and the EU: Politics and Economics of Accession. (2003). Flam, Harry.
    In: Seminar Papers.
    RePEc:hhs:iiessp:0718.

    Full description at Econpapers || Download paper

  45. Business cycle detrending of macroeconomic data via a latent business cycle index. (2003). Nelson, Charles.
    In: Working Papers.
    RePEc:fip:fedlwp:2002-025.

    Full description at Econpapers || Download paper

  46. Desequilibrios nominales y reales del tipo de cambio en Colombia. (2003). Hugo Oliveros C., ; Carlos Huertas C., .
    In: Revista ESPE - Ensayos Sobre Política Económica.
    RePEc:col:000107:005296.

    Full description at Econpapers || Download paper

  47. Desequilibrios nominales y reales del tipo de cambio en Colombia. (2003). Hugo Oliveros C., ; Carlos Huertas C., .
    In: Revista ESPE - Ensayos sobre Política Económica.
    RePEc:bdr:ensayo:v::y:2003:i:43:p:32-65.

    Full description at Econpapers || Download paper

  48. Desequilibrios nominales y reales del tipo de cambio en Colombia. (2003). Hugo Oliveros C., ; Carlos Huertas C., .
    In: Revista ESPE - Ensayos sobre Política Económica.
    RePEc:bdr:ensayo:v:21:y:2003:i:43:p:32-65.

    Full description at Econpapers || Download paper

  49. Cattle Cycles, Heterogeneous Expectations and the Age Distribution of Capital. (2002). Aadland, David.
    In: Others.
    RePEc:wpa:wuwpot:0211002.

    Full description at Econpapers || Download paper

  50. Detrending Time-Aggregated Data. (2002). Aadland, David.
    In: Microeconomics.
    RePEc:wpa:wuwpmi:0211015.

    Full description at Econpapers || Download paper

  51. Monetary policy and forecasting inflation with and without the output gap. (2002). Razzak, Weshah.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2002/03.

    Full description at Econpapers || Download paper

  52. Time Series Decomposition and Measurement of Business Cycles, Trends and Growth Cycles. (2002). Ozyildirim, Ataman ; Zarnowitz, Victor.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8736.

    Full description at Econpapers || Download paper

  53. The cyclical behavior of state employment during the postwar period. (2002). Sill, Keith ; Carlino, Gerald ; Defina, Robert.
    In: Working Papers.
    RePEc:fip:fedpwp:02-14.

    Full description at Econpapers || Download paper

  54. Real-time estimation of trend output and the illusion of interest rate smoothing. (2002). Lansing, Kevin.
    In: Economic Review.
    RePEc:fip:fedfer:y:2002:p:17-34.

    Full description at Econpapers || Download paper

  55. Cyclical Features of Uzawa-Lucas Endogenous Growth Model. (2002). Restrepo, Sergio.
    In: DFAEII Working Papers.
    RePEc:ehu:dfaeii:200230.

    Full description at Econpapers || Download paper

  56. A state-space approach to calculating the Beveridge-Nelson decomposition. (2002). Morley, James.
    In: Economics Letters.
    RePEc:eee:ecolet:v:75:y:2002:i:1:p:123-127.

    Full description at Econpapers || Download paper

  57. Desequilibrios Nominales y Reales del Tipo de Cambio en Colombia. (2002). Oliveros, Hugo ; Huertas, Carlos.
    In: Borradores de Economia.
    RePEc:bdr:borrec:220.

    Full description at Econpapers || Download paper

  58. Filtering for Current Analysis. (2002). van Norden, Simon.
    In: Staff Working Papers.
    RePEc:bca:bocawp:02-28.

    Full description at Econpapers || Download paper

  59. Business cycle asymmetry and duration dependence: An international perspective. (2001). Mills, Terence C..
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:28:y:2001:i:6:p:713-724.

    Full description at Econpapers || Download paper

  60. Exchange rate volatility and Currency Union: Some theory and New Zealand evidence. (2001). Scrimgeour, Dean.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2001/04.

    Full description at Econpapers || Download paper

  61. Money in the era of inflation targeting. (2001). Razzak, Weshah.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:2001/02.

    Full description at Econpapers || Download paper

  62. Linear data transformations used in economics. (2001). Cohen, Darrel .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2001-59.

    Full description at Econpapers || Download paper

  63. Computation of the Beveridge-Nelson decomposition in the case of cointegrated systems with I(0) variables. (2001). Beyaert, Arielle ; Quesada Medina, Alfonso J., .
    In: Economics Letters.
    RePEc:eee:ecolet:v:72:y:2001:i:3:p:283-289.

    Full description at Econpapers || Download paper

  64. FOREIGN AID AND THE BUSINESS CYCLE. (2000). Robe, Michel ; Pallage, Stephane.
    In: Computing in Economics and Finance 2000.
    RePEc:sce:scecf0:107.

    Full description at Econpapers || Download paper

  65. The Band pass filter. (1999). Fitzgerald, Terry ; Christiano, Lawrence.
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:9906.

    Full description at Econpapers || Download paper

  66. Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns. (1996). Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5752.

    Full description at Econpapers || Download paper

  67. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-10-02 22:04:36 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.