St. Louis Fed  |   Economic Research  |   EconDISC®  |   FRED®  |   GeoFRED®  |   ALFRED®  |   CASSIDI®  |   FRASER®  |   Liber8®  |   APIs  |   Fed System Help 
Logo: Economic Research, Federal Reserve Bank of St. Louis
 
Employment  |   Seminars  |   Monetary Aggregates  |   Tracking the Recession  
Search | View by Year | View by Category | View by Author | View by JEL Code

"A Steady-State Approach to Trend/Cycle Decomposition of Regime-Switching Processes"
by James Morley, and Jeremy M. Piger

We present a new approach to trend/cycle decomposition of time series that follow regime switching processes. The proposed approach, which we label the “regime-dependent steady state” (RDSS) decomposition, is motivated as the appropriate generalization of the Beveridge Nelson (1981) decomposition to the setting where the reduced-form dynamics of a given series can be captured by a regime-switching forecasting model. For processes in which the underlying trend component follows a random walk with possibly regime-switching drift, the RDSS decomposition is optimal in a minimum mean-squared-error sense and is more broadly applicable than directly employing an Unobserved Components model.

Full Text - Acrobat PDF (164k)

Notify Me of Updates for:
Category > Applied Econometrics
Category > Monetary Policy/Macroeconomics
Author > James Morley
Research Papers and Publications: JEL Code > C15
Research Papers and Publications: JEL Code > C22
Research Papers and Publications: JEL Code > E32


  About | Contact Us | Privacy | Legal Top of Page