Spurious trend and cycle in the state space decomposition of a time series with a unit root

Charles Nelson

Journal of Economic Dynamics and Control, 1988, vol. 12, issue 2-3, 475-488

Date: 1988
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Working Paper: Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root (1987)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:12:y:1988:i:2-3:p:475-488

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