An Unobserved Components Model that Yields Business and Medium‐Run Cycles
扩展了不可观测成分模型，允许永久成分具有与暂时成分不同的动态，用于分解美国产出、消费和投资的多元时间序列，发现永久成分的波动在统计上显著且不同于暂时成分，为增长周期提供了另一种解释。
We generalize the unobserved components (UC) model to allow the permanent component to have different dynamics than the transitory components when decomposing U.S. economic activity using a multivariate UC model of (log) output, consumption, and investment. We find that these proposed dynamics in the permanent component are statistically significant and distinct from those of the transitory components. Our approach provides an alternative explanation for the growth cycles identified by Comin and Gertler ( ) that is related to the cyclical movements in technology, in a framework consistent with the Beveridge and Nelson ( ) decomposition.