lengths, that could not be captured with univariate linear filters. Exam- ples of research in both directions can be found in Sims (1977), Lahiri and Moore (1991), Stock and Watson (1993), and Hamilton (1994) and (1989). Although the first approach is known to present serious limitations, the new and more sophisticated methods developed in the second approach (most notably, multivariate and nonlinear extensions) are at an early stage, and have proved still unreliable, displaying poor behavior when moving away from the sample period . Despite the fact that business cycle estimation is basic to...