Univariate unobserved-component model with a nonrandom-walk permanent component

In this article, we revisit the univariate unobserved-component (UC) model of the US GDP by relaxing the traditional random-walk assumption of the permanent component. Since our general UC model is unidentified, we investigate the upper bound of the contribution of the transitory component, and find the GDP fluctuation is dominated by the permanent component.

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Year of publication:	2013
Authors:	Xu, Zhiwei
Published in:	Applied Economics. - Taylor & Francis Journals, ISSN 0003-6846. - Vol. 45.2013, 33, p. 4733-4737
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010740778