Extracting a robust U . S . business cycle using a time-varying multivariate model-based bandpass filter

@inproceedings{Creal2009ExtractingAR,
  title={Extracting a robust U . S . business cycle using a time-varying multivariate model-based bandpass filter},
  author={Drew D. Creal and Siem Jan Koopman and Eric Zivot},
  year={2009}
}
We develop a flexible business cycle indicator that accounts for potential time-variation in macroeconomic variables. The coincident economic indicator is based on a multivariate trend-cycle decomposition model and is constructed from a moderate set of U.S. macroeconomic time series. In particular, we consider an unobserved components time series model with a common cycle that is shared across different time series but adjusted for phase shift and amplitude. The extracted cycle can be… CONTINUE READING

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