Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?
调和了两种广泛使用的GDP趋势-周期分解方法，指出差异源于不可观测成分分解中假设趋势与周期创新不相关，放松该假设后两者等价，且美国季度GDP数据拒绝零相关假设。
This paper reconciles two widely used decompositions of GDP into trend and cycle that yield starkly different results. The Beveridge-Nelson (BN) decomposition implies that a stochastic trend accounts for most of the variation in output, whereas the unobserved-components (UC) implies cyclical variation is dominant. Which is correct has broad implications for the relative importance of real versus nominal shocks. We show the difference arises from the restriction imposed in UC that trend and cycle innovations are uncorrelated. When this restriction is relaxed, the UC decomposition is identical to the BN decomposition. Furthermore, the zero-correlation restriction can be rejected for U.S. quarterly GDP, with the estimated correlation being -0.9. © 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.