Trend-cycle decompositions of real gdp revisited classical and bayesian perspectives on an unsolved puzzle
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kim,Chang-Jin | - |
dc.contributor.author | Kim,Jaeho | - |
dc.date.accessioned | 2023-08-16T07:43:14Z | - |
dc.date.available | 2023-08-16T07:43:14Z | - |
dc.date.issued | 2022-03 | - |
dc.identifier.issn | 1365-1005 | - |
dc.identifier.issn | 1469-8056 | - |
dc.identifier.uri | https://scholarworks.bwise.kr/erica/handle/2021.sw.erica/114155 | - |
dc.description.abstract | While Perron and Wada (2009) maximum likelihood estimation approach suggests that postwar US real GDP follows a trend stationary process (TSP), our Bayesian approach based on the same model and the same sample suggests that it follows a difference stationary process (DSP). We first show that the results based on the approach should be interpreted with caution, as they are relatively more subject to the ‘pile-up problem’ than those based on the Bayesian approach. We then directly estimate and compare the two competing TSP and DSP models of real GDP within the Bayesian framework. Our empirical results suggest that a DSP model is preferred to a TSP model both in terms of in-sample fits and out-of-sample forecasts. | - |
dc.format.extent | 25 | - |
dc.language | 영어 | - |
dc.language.iso | ENG | - |
dc.publisher | Cambridge University Press | - |
dc.title | Trend-cycle decompositions of real gdp revisited classical and bayesian perspectives on an unsolved puzzle | - |
dc.type | Article | - |
dc.publisher.location | 미국 | - |
dc.identifier.doi | 10.1017/S1365100520000218 | - |
dc.identifier.wosid | 000769406100006 | - |
dc.identifier.bibliographicCitation | Macroeconomic Dynamics, v.26, no.2, pp 394 - 418 | - |
dc.citation.title | Macroeconomic Dynamics | - |
dc.citation.volume | 26 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 394 | - |
dc.citation.endPage | 418 | - |
dc.type.docType | 정기학술지(Article(Perspective Article포함)) | - |
dc.description.isOpenAccess | N | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.subject.keywordPlus | OIL-PRICE SHOCK | - |
dc.subject.keywordPlus | MAXIMUM-LIKELIHOOD | - |
dc.subject.keywordPlus | TIME-SERIES | - |
dc.subject.keywordPlus | UNIT-ROOT | - |
dc.subject.keywordPlus | REGRESSION-MODELS | - |
dc.subject.keywordPlus | GREAT CRASH | - |
dc.subject.keywordPlus | ESTIMATORS | - |
dc.subject.keywordPlus | PARAMETERS | - |
dc.subject.keywordPlus | COMPONENTS | - |
dc.subject.keywordPlus | PERMANENT | - |
dc.subject.keywordAuthor | Pile-up ProblemProfile LikelihoodIntegrated LikelihoodTrend Stationary ProcessDifference Stationary ProcessOut-of-Sample Prediction | - |
dc.identifier.url | https://www.cambridge.org/core/journals/macroeconomic-dynamics/article/trendcycle-decompositions-of-real-gdp-revisited-classical-and-bayesian-perspectives-on-an-unsolved-puzzle/95AEEFDF40C6F5B5762439D7E684F000 | - |
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