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