05-081/4 - Measuring Asymmetric Stochastic Cycle Components in U.S. Macroeconomic Time Series

• Authors
  Siem Jan Koopman, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam; Kai Ming Lee, Faculty of Economics and Business Administration, Vrije Universiteit Amsterdam
• Publication date
  August 15, 2005

• Keywords
  Asymmetric business cycles; Unobserved Components; Nonlinear state space models; Monte Carlo likelihood; Importance sampling
• JEL
  C13; C22; E32.