Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area
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- António Rua & João Valle e Azevedo & Siem Jan Koopman, 2003. "Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area," Working Papers w200316, Banco de Portugal, Economics and Research Department.
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Cited by:
- Cayen, Jean-Philippe & van Norden, Simon, 2005.
"The reliability of Canadian output-gap estimates,"
The North American Journal of Economics and Finance, Elsevier, vol. 16(3), pages 373-393, December.
- Cayen, Jean-Philippe & van Norden, Simon, 2004. "The reliability of Canadian output gap estimates," Discussion Paper Series 1: Economic Studies 2004,29, Deutsche Bundesbank.
- Edoardo Otranto, 2005. "Extraction of Common Signal from Series with Different Frequency," Econometrics 0502011, University Library of Munich, Germany.
- Julien Garnier, 2004. "UK in or UK Out? A Common Cycle Analysis Between the UK and the Euro Zone," Working Papers 2004-17, CEPII research center.
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More about this item
Keywords
Band-pass filter; Coincident indicator; Dynamic factor model; Kalman filter; Leading indicator; Unobserved components time series model; Phase shift; Revisions;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2003-09-14 (Macroeconomics)
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