Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root
收藏NBER1987-11-01 更新2025-01-04 收录
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https://www.nber.org/papers/t0063
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资源简介：
Recent research has proposed the state space (88) framework for decomposition of GNP and other economic time series into trend and cycle components, using the Kalman filter. This paper reviews the empirical evidence and suggests that the resulting decomposition may be spurious, just as detrending by
提供机构：
美国国家经济研究局
创建时间：
1987-11-01
