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Title: Trends and cycles in macro series: the case of US real GDP
Authors: Caporale, GM
Gil-Alana, LA
Keywords: GDP;GDP per capita;trends;cycles;long memory;fractional integration
Issue Date: 4-Mar-2021
Publisher: Trustees of the Bulletin of Economic Research and John Wiley & Sons Ltd
Citation: Caporale, G.M. and Gil-Alana, L.A. (2021) 'Trends and cycles in macro series: the case of US real GDP', Bulletin of Economic Research, in press, pp. 1-12. doi: 10.1111/boer.12278.
Abstract: © 2021 The Authors. This paper proposes a new modeling framework capturing both the long-run and the cyclical components of a time series. As an illustration, we apply it to four US macro series, namely, annual and quarterly real gross domestic product (GDP) and GDP per capita. The results indicate that the behavior of US GDP can be captured accurately by a model incorporating both stochastic trends and stochastic cycles that allows for some degree of persistence in the data. Both appear to be mean reverting, although the stochastic trend is nonstationary, while the cyclical component is stationary, with cycles repeating themselves every 6–10 years.
ISSN: 0307-3378
Appears in Collections:Dept of Economics and Finance Research Papers

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