Wada and Perron (2005)

[injectors]

Hi

I am looking for codes regarding an unobserved components model, specifically, codes regarding
"An Alternative Trend-Cycle Decomposition using a State Space Model with Mixtures of Normals: Specifications and Applications to International Data"
by Wada and Perron (2005)

thanks for your help

[TomDoan]

Their later paper: Perron and Wada (2009), “Let’s take a break: Trends and cycles in US real GDP”, Journal of Monetary Economics, vol. 56, pp. 749-765 is (I believe) pretty much the same thing as the 2005 paper but with a break in the trend. It includes mixture models for the shocks as an option.