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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.
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