We propose a procedure for representing a time series as the sum of a smoothly varying trend component and a cyclical component. We document the nature of the comovements of the cyclical components of a variety of macroeconomic time series. We find that these comovements are very different than the corresponding comovements of the slowly varying trend components.
Hodrick, Robert, and Edward Prescott. "Postwar U.S. Business Cycles: An Empirical Investigation." Journal of Money, Credit, and Banking 29, no. 1 (February 1997): 1-16.
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