432 Structural Time Series Models
Kuttner, K.N. (1994) Estimating potential output as a latent variable.Journal of Business and
Economic Statistics 12 , 361–8.
Kwiatkowski, D., P.C.B. Phillips, P. Schmidt and Y. Shin (1992) Testing the null hypothesis
of stationarity against the alternative of a unit root: how sure are we that economic time
series have a unit root?Journal of Econometrics 54 , 159–78.
Laubach, T. (2001) Measuring the NAIRU: evidence from seven economies. Review of
Economics and Statistics 83 , 218–31.
Leser, C.E.V. (1961) A simple method of trend construction.Journal of the Royal Statistical
Society, Series B 23 , 91–107.
Maravall, A. and A. del Rio (2007) Temporal aggregation, systematic sampling, and the
Hodrick-Prescott filter.Computational Statistics & Data Analysis 52 , 975–98.
McConnell, M.M. and G.P. Perez Quiros (2000) Output fluctuations in the United States: what
has changed since the early 1980s?American Economic Review 90 , 1464–76.
McMorrow, K. and W. Roeger (2001) Potential output: measurement methods, “new” econ-
omy influences and scenarios for 2001–2010. A comparison of the EU15 and the US.
European Economy – Economic PapersNo. 150. Commission of the European Communities.
Directorate-General for Economic and Financial Affairs, Brussels.
Mills, T.C. (2003)Modelling Trends and Cycles in Economic Time Series. Basingstoke: Palgrave
Macmillan.
Morley, J.C., C.R. Nelson and E. Zivot (2003) Why are Beveridge-Nelson and unobserved-
component decompositions of GDP so different?Review of Economics and Statistics 85 ,
235–43.
Muth, J.F. (1960) Optimal properties of exponentially weighted forecasts. Journal of the
American Statistical Association 55 , 299–306.
Nerlove, M.L., D.M. Grether and J.L. Carvalho (1995)Analysis of Economic Time Series: A
Synthesis(revised edition). New York: Academic Press Inc.
Nyblom, J. and T. Mäkeläinen (1983) Comparison of tests for the presence of random walk
coefficients in a simple linear model.Journal of the American Statistical Association 78 ,
856–64.
OECD (2001)OECD Economic Outlook, No. 69, June 2001. Paris: OECD.
Okun, A. (1962) Potential GNP: its measurement and significance.Proceedings of the Business
and Economic Statistics Section of the American Statistical Association. Reprinted in A. Okun,
The Political Economy of Prosperity. pp. 132–5. New York: Norton, 1970.
Orphanides, A., R. Porter, D. Reifschneider, R. Tetlow and F. Finan (2000) Errors in the mea-
surement of the output gap and the design of monetary policy.Journal of Economics and
Business 52 , 117–43.
Orphanides, A. and S. van Norden (2002) The unreliability of output gap estimates in real
time.Review of Economics and Statistics 84 , 569–83.
Percival, D.B. and A.T. Walden (1993)Spectral Analysis for Physical Applications. Multitaper and
Conventional Univariate Techniques. Cambridge: Cambridge University Press.
Pierce, D.A. (1979) Signal extraction error in nonstationary time series.Annals of Statistics 7 ,
1303–20.
Planas, C. and A. Rossi (2004) Can inflation data improve the real-time reliability of output
gap estimates?Journal of Applied Econometrics 19 , 121–33.
Planas, C., A. Rossi and G. Fiorentini (2007) Bayesian analysis of output gap.Journal of Business
and Economic Statistics 26 (1), 18–32.
Proietti, T. (2004) On the model based interpretation of filters and the reliability of trend-cycle
estimates.Forthcoming in 2009inEconometricReviews.
Proietti, T. (2005) Forecasting and signal extraction with misspecified models.Journal of
Forecasting 24 , 539–56.
Proietti T. (2006a) Trend-cycle decompositions with correlated components.Econometric
Reviews 25 , 61–84.
Proietti T. (2006b) On the estimation of nonlinearly aggregated mixed models.Journal of
Computational and Graphical Statistics 15 , 18–38.