IDEAS home Printed from https://ideas.repec.org/a/cup/macdyn/v19y2015i04p776-790_00.html
   My bibliography  Save this article

Trend In Cycle Or Cycle In Trend? New Structural Identifications For Unobserved-Components Models Of U.S. Real Gdp

Author

Listed:
  • Dungey, Mardi
  • Jacobs, Jan P.A.M.
  • Tian, Jing
  • van Norden, Simon

Abstract

A well-documented property of the Beveridge–Nelson trend–cycle decomposition is the perfect negative correlation between trend and cycle innovations. We show how this may be consistent with a structural model where permanent innovations enter the cycle or transitory innovations enter the trend, and that identification restrictions are necessary to make this structural distinction. A reduced-form unrestricted version is compatible with either option, but cannot distinguish which is relevant. We discuss economic interpretations and implications using U.S. real GDP data.

Suggested Citation

  • Dungey, Mardi & Jacobs, Jan P.A.M. & Tian, Jing & van Norden, Simon, 2015. "Trend In Cycle Or Cycle In Trend? New Structural Identifications For Unobserved-Components Models Of U.S. Real Gdp," Macroeconomic Dynamics, Cambridge University Press, vol. 19(4), pages 776-790, June.
  • Handle: RePEc:cup:macdyn:v:19:y:2015:i:04:p:776-790_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S1365100513000606/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Ivan Mendieta-Munoz & Mengheng Li, 2019. "The Multivariate Simultaneous Unobserved Compenents Model and Identification via Heteroskedasticity," Working Paper Series, Department of Economics, University of Utah 2019_06, University of Utah, Department of Economics.
    2. Andrew E. Evans, 2020. "Average labour productivity dynamics over the business cycle," Empirical Economics, Springer, vol. 59(4), pages 1833-1863, October.
    3. Li, Mengheng & Mendieta-Muñoz, Ivan, 2024. "Dynamic hysteresis effects," Journal of Economic Dynamics and Control, Elsevier, vol. 163(C).
    4. Matteo Barigozzi & Matteo Luciani, 2017. "Common Factors, Trends, and Cycles in Large Datasets," Finance and Economics Discussion Series 2017-111, Board of Governors of the Federal Reserve System (U.S.).
    5. Irma Hindrayanto & Jan Jacobs & Denise Osborn, 2014. "On trend-cycle-seasonal interactions," DNB Working Papers 417, Netherlands Central Bank, Research Department.
    6. Sadaba, Barbara & Vujić, Sunčica & Maier, Sofia, 2024. "Characterizing the schooling cycle," Economic Modelling, Elsevier, vol. 132(C).
    7. Luis Uzeda, 2022. "State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 25-53, Emerald Group Publishing Limited.
    8. Bruno Feunou & Jean-Sébastien Fontaine, 2021. "Debt-Secular Economic Changes and Bond Yields," Staff Working Papers 21-14, Bank of Canada.
    9. Jan P.A.M. Jacobs & Samad Sarferaz & Simon van Norden & Jan-Egbert Sturm, 2013. "Modeling Multivariate Data Revisions," CIRANO Working Papers 2013s-44, CIRANO.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:macdyn:v:19:y:2015:i:04:p:776-790_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/mdy .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.