Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?

By James C. Morley, Charles R. Nelson, Eric Zivot. Review of Economics and Statistics, 2003

515 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/8d1a477032c7d0cf975e8884fc25c226d4e02d0c

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Citations in the corpus

An Inflation-Predicting Measure of the Output Gap in the Euro Area (2018, background): “Morley et al. (2003) show that when these errors are modeled as correlated, the random walk trend explains more and cycle less of the variation in output, hence this has a qualitatively similar effect to specifying a more flexible trend process.”
Reconciling Output Gaps: Unobserved Components Model and Hodrick-Prescott Filter (2017, methodology): “In contrast, the main purpose of this paper is to reconcile the output gaps obtained from the HP filter and the correlated UC model of Morley et al. (2003).”
THE TWO INTERPRETATIONS OF THE BEVERIDGE–NELSON DECOMPOSITION (2010, methodology): “Based on the state-space representation in (2), Morley et al. (2003) estimate an UC model for 100 times the natural logarithms of quarterly U.S. real GDP under the assumption of an AR(2) structure for the transitory component and with no restriction on the correlation between the innovations to the…”
The Asymmetric Business Cycle (2012, methodology): “…be 1/1600 times as large as the variance of the noise, which is freely estimated. has the same structure as the second model except that, following Morley et al. (2003), it allows correlation between permanent and transitory movements by assuming a general variance-covariance matrix Sgx for the…”
Let's take a break: Trends and cycles in US real GDP (2009, methodology): “Morley et al. (2003) recognized that it is possible to identify model (1) with σ ηη unconstrained, provided p ≥ q + 2.”
Dissecting the PPP Puzzle: The Unconventional Roles of Nominal Exchange Rate and Price Adjustments (2004, unknown): “Formulating the adjustment equations as a state-space model (Morley et al., 2003), Engel and Morley evaluate the speeds at which nominal exchange rates and prices converge to their respective equilibrium levels that are unobserved.”
Cyclical Properties of Baxter-King Filtered Time Series (2003, unknown): “As an illustration of the potential for the BK filter to overstate transitory dynamics in practice, we employ a parameterization taken from Morley, Nelson, and Zivot (2003).”
Cash Flow Sensitivities and the Allocation of Internal Cash Flow (2014, unknown): “Following common practice, we discard observations from financial institutions (SIC codes 6000–6999), utilities (SIC codes 4900 4999), not-for-profit organizations, and government enterprises (SIC codes greater than 8000).”
The relationship between the Beveridge–Nelson decomposition and other permanent–transitory decompositions that are popular in economics (2008, methodology): “Our ensuing analysis for I(1) models focuses on the ARIMA(2,1,2) model because it was studied either implicitly or explicitly by previous authors; see e.g., Watson (1986), Morley, Nelson, and Zivot (2003), and Proietti (2006).”
Natural Expectations, Macroeconomic Dynamics, and Asset Pricing (2012, background): “See Campbell and Mankiw (1987); Cochrane (1988); Morley, Nelson, and Zivot (2003); and Perron and Wada (2009) for a range of opinions.”
A Review of Some Modern Approaches to the Problem of Trend Extraction (2012, methodology): “However, we can still utilize maximum likelihood estimation to get the component models, and the corresponding trend filters are then easy to obtain; see Morley et al. (2003) and Proietti (2006).”