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An unobserved components model that yields business and medium-run cycles
journal contribution
posted on 2014-07-09, 08:44 authored by Jun Ma, Mark WoharWe generalize the unobserved components (UC) model to allow the permanent component to have different dynamics than the transitory components when decomposing U.S. economic activity using a multivariate UC model of (log) output, consumption, and investment. We find that these proposed dynamics in the permanent component are statistically significant and distinct from those of the transitory components. Our approach provides an alternative explanation for the growth cycles identified by Comin and Gertler (2006) that is related to the cyclical movements in technology, in a framework consistent with the Beveridge and Nelson (1981) decomposition.
History
School
- Business and Economics
Department
- Business
Citation
MA, J. and WOHAR, M.E., 2013. An unobserved components model that yields business and medium-run cycles. Journal of Money, Credit and Banking, 45 (7), pp. 1351 - 1373.Publisher
Wiley © The Ohio State UniversityVersion
- VoR (Version of Record)
Publication date
2013Notes
Closed access.ISSN
0022-2879Publisher version
Language
- en