 Trend-cycle correlation, drift break and the estimation of trend and cycle in Canadian GDPCanadian Journal of Economics, 2007, vol. 40, issue 2, 584-606 Abstract: Univariate correlated trend cycle models are highly sensitive to the specifications of breaks in the data. This paper argues, using Monte Carlo experiments, that a bivariate correlated unobserved components (UC) framework with breaks delivers substantially more accurate results for the trend-cycle parameters than the corresponding univariate frameworks in a finite sample size. The paper estimates stochastic trend and cyclical fluctuations in Canada from a bivariate UC model. Results show a fairly volatile stochastic trend after the drift break and the negative trend-cycle shock correlation are accounted for. The estimated cyclical component is large, persistent, and consistent with ECRI denoted Canadian recessions. JEL-codes: E31 E32 (search for similar items in EconPapers) There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it. Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:cje:issued:v:40:y:2007:i:2:p:584-606 Ordering information: This journal article can be ordered from Access Statistics for this article Canadian Journal of Economics is currently edited by Zhiqi Chen More articles in Canadian Journal of Economics from Canadian Economics Association Canadian Economics Association Prof. Werrner Antweiler, Treasurer UBC Sauder School of Business 2053 Main Mall Vancouver, BC, V6T 1Z2. Contact information at EDIRC. |
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