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03-069/4 - Tracking Growth and the Business Cycle: a Stochastic Common Cycle Model for the Euro Area

  • Authors
    Joao Valle e Azevedo, Dept. of Econometrics, Vrije Universiteit Amsterdam; Siem Jan Koopman, Dept. of Econometrics, Vrije Universiteit Amsterdam; Antonio Rua, Economic Research Department, Banco de Portugal, Lisboa
  • Publication date
    September 1, 2003
  • Keywords
    Band-pass filter; Coincident indicator; Dynamic factor model; Kalman filter; Leading indicator; Unobserved components time series model; Phase shift; Revisions
  • JEL
    C13; C32; E32