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Working Paper
From many series, one cycle: improved estimates of the business cycle from a multivariate unobserved components model
We construct new estimates of potential output and the output gap using a multivariate approach that allows for an explicit role for measurement errors in the decomposition of real output. Because we include data on hours, output, employment, and the labor force, we are able to decompose our estimate of potential output into separate trends in labor productivity, labor-force participation, weekly hours, and the NAIRU. We find that labor-market variables?especially the unemployment rate?are the most informative individual indicators of the state of the business cycle. Conditional on including ...