An Unobserved Components Model that Yields Business and Medium-Run Cycles

Material TypeArticleLanguageEnglish
TitleAn Unobserved Components Model that Yields Business and Medium-Run Cycles Author(S)JUN MA (Author)
Abstract  We 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. ...Paginationp 1351-1374
SubjectEconomicsDescriptorsEconomics
Journal TitleJournal of Money, Credit, and Banking  
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