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    • Cyclical Components in Economic Time Series: a Bayesian Approach 

      Harvey, Andrew C.; Trimbur, Thomas; van Dijk, Herman (Faculty of Economics, 2004-06-16)
      Cyclical components in economic time series are analysed in a Bayesian framework, thereby allowing prior notions about periodicity to be used. The method is based on a general class of unobserved component models that ...
    • General Model-based Filters for Extracting Cycles and Trends in Economic Time Series 

      Harvey, Andrew C.; Trimbur, Thomas (Faculty of Economics, 2004-06-16)
      A new class of model-based filters for extracting trends and cycles in economic time series is presented. These low pass and band pass filters are derived in a mutually consistent manner as the joint solution to a signal ...