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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
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