5 citations · 8 across the 3 of their papers we have counts for
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econ.EM2020★ 1 cited
Fractional trends and cycles in macroeconomic time series
Tobias Hartl, Rolf Tschernig, Enzo Weber
We develop a generalization of correlated trend-cycle decompositions that avoids prior assumptions about the long-run dynamic characteristics by modelling the permanent component a…
econ.EM2020★ 2 cited
Fractional trends in unobserved components models
Tobias Hartl, Rolf Tschernig, Enzo Weber
We develop a generalization of unobserved components models that allows for a wide range of long-run dynamics by modelling the permanent component as a fractionally integrated proc…