The DOI matches its Crossref record; 21 of the 21 references it cites were found in a registry or an index.
Trends and Cycles in Macroeconomic Time Series
Abstract
Two structural time series models for annual observations are constructed in terms of trend, cycle, and irregular components. The models are then estimated via the Kalman filter using data on five U.S. macroeconomic time series. The results provide some interesting insights into the dynamic structure of the series, particularly with respect to cyclical behavior. At the same time, they illustrate the development of a model selection strategy for structural time series models.
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Cites
Distribution of the Estimators for Autoregressive Time Series with a Unit Root
Dickey, D. A., & Fuller, W. A. (1979) · Journal of the American Statistical Association · doi:10.1080/01621459.1979.10482531 · Cited by 23,211
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Time Series Analysis: Forecasting and Control
Geurts, M., Box, G. E. P., & Jenkins, G. M. (1977) · Journal of Marketing Research · doi:10.2307/3150485 · Cited by 19,186
Journal of The American Statistical Association
Fienberg, S. E. (2005) · Encyclopedia of Statistical Sciences · doi:10.1002/0471667196.ess1317 · Cited by 6,125
Trends and random walks in macroeconmic time series
Nelson, C. R., & Plosser, C. R. (1982) · Journal of Monetary Economics · doi:10.1016/0304-3932(82)90012-5 · Cited by 4,665
Trends and random walks in macroeconomic time series
Perron, P. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90043-7 · Cited by 2,433
Beveridge, S., & Nelson, C. R. (1981) · Journal of Monetary Economics · doi:10.1016/0304-3932(81)90040-4 · Cited by 2,293
Harrison, P. J., & Stevens, C. F. (1976) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.2517-6161.1976.tb01586.x · Cited by 649
Spurious Periodicity in Inappropriately Detrended Time Series
Nelson, C. R., & Kang, H. (1981) · Econometrica · doi:10.2307/1911520 · Cited by 395
Econometrics and Quantitative Economics.
Wickens, M. R., Hendry, D. F., & Wallis, K. F. (1985) · The Economic Journal · doi:10.2307/2233045 · Cited by 363
Cited by
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
Hamilton, J. D. (1989) · Econometrica · doi:10.2307/1912559 · Cited by 9,646
Stock, J. H., & Watson, M. W. (1988) · Journal of the American Statistical Association · doi:10.1080/01621459.1988.10478707 · Cited by 1,894
Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots
Campbell, J. Y., & Perron, P. (1991) · NBER Macroeconomics Annual · doi:10.1086/654163 · Cited by 1,255
Banerjee, A., Lumsdaine, R., & Stock, J. (1990) · National Bureau of Economic Research · doi:10.3386/w3510 · Cited by 870
Sources of Business Cycle Fluctuations
Shapiro, M., & Watson, M. (1988) · National Bureau of Economic Research · doi:10.3386/w2589 · Cited by 593
Metadata
- Authors
- Harvey, A. C.
- Venue
- Journal of Business & Economic Statistics
- Publisher
- Informa UK Limited
- Published
- 1985-07
- Volume
- 3
- Issue
- 3
- Pages
- 216-227
- ISSN
- 0735-0015 (ISSN-L)
- 1537-2707
- OpenAlex
- W2165374033
- Cited by
- 687
- References
- 21
- FWCI
- 39.10
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
