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Are business cycles mainly the result of permanent shocks to productivity? This paper uses a long-run restriction implied by a large class of real-business-cycle models -identifying per...
UNIVARIATE DETRENDING METHODS WITH STOCHASTIC TRENDS
UNIVARIATE DETRENDING METHODS STOCHASTIC TRENDS
2014/3/18
This paper discusses detrending economic time series, when the trend is modelled as a stochastic process. It considers unobserved components models in which the observed series i...