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In particular, we consider an unobserved components time series model with a common cycle that is shared across different time series but adjusted for phase shift and amplitude. The extracted cycle can be interpreted as a model\u2010based bandpass filter and is designed to emphasize the business cycle frequencies that are of interest to applied researchers and policymakers. Stochastic volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to account for the heteroskedasticity present in the data. Forecasting results are presented for a set of different specifications. Point forecasts from the preferred model indicate a future recession with the uncertainty over the business cycle growing quickly as the forecast horizon increases. Copyright \u00a9 2010 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.1185","type":"journal-article","created":{"date-parts":[[2010,4,1]],"date-time":"2010-04-01T08:51:12Z","timestamp":1270111872000},"page":"695-719","source":"Crossref","is-referenced-by-count":22,"title":["Extracting a robust US business cycle using a time\u2010varying multivariate model\u2010based bandpass filter"],"prefix":"10.1002","volume":"25","author":[{"given":"Drew","family":"Creal","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Siem Jan","family":"Koopman","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Eric","family":"Zivot","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2010,5,4]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1162\/0034653041811662"},{"key":"e_1_2_8_3_1","unstructured":"AltissimoF RiccardoC ForniM LippiM VeroneseG.2007.New Eurocoin: tracking economic growth in real time. 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