English, Article, Journal or magazine article edition: Let’s Take a Break: Trends and Cycles in US Real GDP Pierre Perron; Tatsuma Wada

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/76567
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Let’s Take a Break: Trends and Cycles in US Real GDP
Author
  • Pierre Perron
  • Tatsuma Wada
Physical Description
  • preprint
Notes
  • 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 chronology, ascribes much movements to the trend leaving little to the cycle, and some imply a negative correlation between the noise to the cycle and the trend. We argue that these features are artifacts created by the neglect of a change in the slope of the trend function in real GDP in 1973. Once this is properly accounted for, all methods yield the same cycle with a trend that is non-stochastic except for a few periods around 1973. This cycle is more important in magnitude than previously reported, it accords well with the NBER chronology and implies no correlation between the trend and cycle, since the former is non-stochastic. Our results are corroborated using an alternative trend-cycle decomposition based on a generalized Unobserved Components models with errors having a mixture of Normals distribution for both the slope of the trend function and the cyclical component. It can account endogenously for infrequent changes such as level shifts and change in slope, as well as different variances for expansions and recessions. It yields a decomposition that accords very well with common notions of the business cycle.
  • RePEc:bos:wpaper:wp2005-031
  • Trend-Cycle Decomposition, Structural Change, Non Gaussian Filtering, Unobserved Components Model, Beveridge-Nelson Decomposition
  • RePEc:bos:wpaper:wp2009-006
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment