Trend-cycle decomposition allowing for multiple smooth structural changes in the trend of US real GDP

Walter Enders and Jing Li

Journal of Macroeconomics, 2015, vol. 44, issue C, 71-81

Abstract: A key feature of Flexible Fourier Form (FFF) is that the essential characteristics of multiple structural changes can be captured using a small number of low frequency components from a Fourier approximation. We introduce a variant of the FFF into the trend function of US real GDP in order to allow for gradual effects of unknown numbers of structural changes occurring at unknown dates. We find that the hypothesis of no changes can be rejected, and the Fourier components are significant. Our new cycle matches the NBER chronology very well, especially for the Great Recession of 2009.

Keywords: Trend-cycle decomposition; Flexible Fourier form; Smooth structural changes (search for similar items in EconPapers)
JEL-codes: C32 E32 E37 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0164070415000257
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmacro:v:44:y:2015:i:c:p:71-81

DOI: 10.1016/j.jmacro.2015.02.002

Access Statistics for this article

Journal of Macroeconomics is currently edited by Douglas McMillin and Theodore Palivos

More articles in Journal of Macroeconomics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().