Why are Bayesian trend-cycle decompositions of US real GDP so different?

Jaeho Kim and Sora Chon ()

Empirical Economics, 2020, vol. 58, issue 3, No 17, 1339-1354

Abstract: Abstract This paper provides an underlying reason for why recent Bayesian trend-cycle decompositions of US real GDP differ despite using identical unobserved components models. We stress that a pitfall in estimating unobserved components models accounts for the divergence in the empirical conclusions. Our results also show that the decline in the long-run growth rate of real GDP has been slow and gradual rather than abrupt during the post-World War II period.

Keywords: Trend-cycle decomposition; Unobserved components model; Structural break; Gibbs sampling (search for similar items in EconPapers)
JEL-codes: C11 E32 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s00181-018-1554-0

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