Permanent and transitory components of recessions

By Chang-Jin Kim, C. Murray. 2002

111 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/674dd5dcba12363686b5bce4b640b8362a4966cc

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Citations in the corpus

Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations (2002, background): “1 An exception is Kim and Murray (2002) , who estimate a dynamic factor model that incorporates both”
Did Output Recover from the Asian Crisis? (2003, background): “Two exceptions are Kim and Murray (2002) and Kim and Piger (2002), which investigate the co-movement of several economic series and asymmetry in both temporary and permanent common factors.”
Vector smooth transition regression models for US GDP and the composite index of leading indicators (2004, methodology): “23, 173–196 (2004) proposed by Granger and Teräsvirta (1993). By analogy, I call it the vector smooth transition regression (VSTR) model. The primary principle for estimation is maximum likelihood, which leads to simple linearity and model selection tests. In line with the univariate proposal of Eit”
Do european business cycles look like one (2008, result): “This result goes in line with Kim and Murray (2002), who nd that the existence the of the recovery phase of rapid growth detected by Sichel (1994) is no longer present in the last expansions.”
Alternative Methods of Estimating Potential Output and the Output Gap (2000, unknown): “Each series can be written as: itititit TPDTY ++= (22) tDaDT iiit += (23) ittiit NP ζγ += (24) ittiit xT ωλ += (25) 5 Kim and Murray (1999) and Kim and Nelson (1998b) discuss the models in this and the next section, with applications to US data. where tN and tx are the common permanent and common…”
Tracking the new economy: using growth theory to detect changes in trend productivity (2007, methodology): “10 While there are other time series models that also incorporate permanent and transitory components, the Kim and Murray (2002) model is unique in that it allows for the possibility that the components may be subject to changes in regime.”
Nonlinearity and the permanent effects of recessions (2002, methodology): “Kim and Murray (2002) combine the Hamilton (1989) and Kim and Nelson (1999a) approaches in a multivariate model with regime switching in both the trend and cycle components of output.”