On trend-cycle decomposition and data revision
Mardi Dungey (),
Jan Jacobs (),
Jing Tian and
Simon van Norden
Additional contact information
Simon van Norden: Groningen University
No 12009-EEF, Research Report from University of Groningen, Research Institute SOM (Systems, Organisations and Management)
A well-documented property of the Beveridge-Nelson trend-cycle decomposition is the perfect negative correlation between trend and cycle innovations. This paper gives a novel explanation for this negative correlation originating from the Jacobs-van Norden (2011) data revision model. Trend shocks may enter the equation for the cycle or cyclical shocks may enter the trend equation. We discuss economic interpretations and implications, including ltering and smoothing properties.We illustrate the idea with simulations based on the Morley, Nelson and Zivot (2003) outcomes
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:gro:rugsom:12009-eef
Access Statistics for this paper
More papers in Research Report from University of Groningen, Research Institute SOM (Systems, Organisations and Management) Contact information at EDIRC.
Series data maintained by Hanneke Tamling ().