06-105/4 - Extracting Business Cycles using Semi-parametric Time-varying Spectra with Applications to US Macroeconomic Time Series

• Authors
  Siem Jan Koopman, Vrije Universiteit Amsterdam; Soon Yip Wong, Vrije Universiteit Amsterdam
• Publication date
  November 29, 2006

• Keywords
  Frequency domain estimation; frequency domain bootstrap; time-varying parameters; unobserved components models
• JEL
  C13; C14; C22; E32