A steady-state approach to trend/cycle decomposition
By: by James Morley and Jeremy M. Piger.
Contributors: Piger, Jeremy Max.; Federal Reserve Bank of St. Louis.
Series: Working paper ;; 2004-006C; Working paper (Federal Reserve Bank of St. Louis : Online) ;; 2004-006C.
Publisher: Federal Reserve Bank of St. Louis
Published: 2004
Place of publication: [St. Louis, Mo.]
Language: eng
Format: Electronic resource
Subjects: Economic forecasting.; Time-series analysis.
Description: "In this paper, we present a new approach to trend/cycle decomposition.  The trend of an integrated time series is defined as the steady-state level of the series, a definition that has exploitable forecasting implications useful for identifying the trend.  We operationalize the steady-state approach for regime-switching processes and we use generated data from such processes to demonstrate the advantages of the steady-state approach over alternative approaches.  We then apply the steady-state approach to estimate the trend and cycle of U.S.  real GDP implied by a regime-switching forecasting model.  Our findings portray a very different picture of the business cycle than implied by standard linear methods"--Federal Reserve Bank of St. Louis web site.
Notes: Includes bibliographical references.
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