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dc.contributor.authorPerron, Pierreen_US
dc.contributor.authorWada, Tatsumaen_US
dc.date.accessioned2018-01-23T19:01:16Z
dc.date.available2018-01-23T19:01:16Z
dc.date.issued2016-06
dc.identifier.citationPierre Perron, Tatsuma Wada. 2016. "Measuring business cycles with structural breaks and outliers: Applications to international data." Research in Economics, Volume 70, Issue 2, pp. 281 - 303.
dc.identifier.issn1090-9443
dc.identifier.urihttps://hdl.handle.net/2144/26273
dc.description.abstractThis paper first generalizes the trend-cycle decomposition framework of Perron and Wada (2009) based on unobserved components models with innovations having a mixture of normals distribution, which is able to handle sudden level and slope changes to the trend function as well as outliers. We investigate how important are the differences in the implied trend and cycle compared to the popular decomposition based on the Hodrick and Prescott (HP) (1997) filter. Our results show important qualitative and quantitative differences in the implied cycles for both real GDP and consumption series for the G7 countries. Most of the differences can be ascribed to the fact that the HP filter does not handle well slope changes, level shifts and outliers, while our method does so. Then, we reassess how such different cycles affect some so-called “stylized facts” about the relative variability of consumption and output across countries.en_US
dc.format.extent281 - 303en_US
dc.relation.ispartofResearch in Economics
dc.subjectTrend-cycle decompositionen_US
dc.subjectUnobserved components modelen_US
dc.subjectInternational business cycleen_US
dc.subjectNon Gaussian filteren_US
dc.subjectTrend-Cycle Decompositionen_US
dc.subjectEconomicsen_US
dc.titleMeasuring business cycles with structural breaks and outliers: Applications to international dataen_US
dc.typeArticleen_US
dc.identifier.doi10.1016/j.rie.2015.12.001
pubs.elements-sourcecrossrefen_US
pubs.notespublisher: Elsevier articletitle: Measuring business cycles with structural breaks and outliers: Applications to international data journaltitle: Research in Economics articlelink: http://dx.doi.org/10.1016/j.rie.2015.12.001 content_type: article copyright: © 2015 University of Venice. Published by Elsevier Ltd. All rights reserved.en_US
pubs.notesEmbargo: Not knownen_US
pubs.organisational-groupBoston Universityen_US
pubs.organisational-groupBoston University, College of Arts & Sciencesen_US
pubs.organisational-groupBoston University, College of Arts & Sciences, Department of Economicsen_US
pubs.publication-statusPublisheden_US


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