A Note on the Two Assumptions of Standard Unobserved Components Models

In this note, I consider a general class of unobserved components (UC) models and derive a relevant inequality. This inequality implies that either of the two assumptions of standard UC models, namely, a random walk trend and uncorrelated shocks, is not satisfied if the impulse response measure introduced by Campbell and Mankiw (1987a,b) is greater than 1

MoreLess

Year of publication:	2008
Authors:	Nagakura, Daisuke
Publisher:	[S.l.] : SSRN

More details
Report error

Extent:	1 Online-Ressource (6 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters, Vol. 100, No. 1, pp. 123-125, 2008
Classification:	C22 - Time-Series Models ; C49 - Econometric and Statistical Methods: Special Topics. Other ; E32 - Business Fluctuations; Cycles
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014052633