Measuring business cycles with structural breaks and outliers: Applications to international data

Pierre Perron, Tatsuma Wada

研究成果: Article査読

15 被引用数 (Scopus)

抄録

This paper first generalizes the trend-cycle decomposition framework of Perron and Wada (2009) based on unobserved components models with innovations having a mixture of normals distribution, which is able to handle sudden level and slope changes to the trend function as well as outliers. We investigate how important are the differences in the implied trend and cycle compared to the popular decomposition based on the Hodrick and Prescott (HP) (1997) filter. Our results show important qualitative and quantitative differences in the implied cycles for both real GDP and consumption series for the G7 countries. Most of the differences can be ascribed to the fact that the HP filter does not handle well slope changes, level shifts and outliers, while our method does so. Then, we reassess how such different cycles affect some so-called "stylized facts" about the relative variability of consumption and output across countries.

本文言語English
ページ(範囲)281-303
ページ数23
ジャーナルResearch in Economics
70
2
DOI
出版ステータスPublished - 2016 6月 1

ASJC Scopus subject areas

  • 経済学、計量経済学

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