Signal Extraction in Presence of Infrequent Shocks

Marco Bianchi

No 1993052, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: The paper fits into the recent ddmte about persistence of shocks and unit roots in macroeconomic time series. Taking the large persistence of shocks as an empirical well-established fact, the debate foclls now on whether such an empirical finding is better consistent with the hypothesis of infrequent or frequent permanent shocks. A priori, the trend-break (i.e. infrequent) hypothesis is often considered more appealing, but is associates the difficulty of identifying an algorithm which can be used to select break dates from the series. Such an algorithm is suggested in the paper.

Date: 1993-12-01
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Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:1993052

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