Univariate Unobserved-Component Model with Non-Random Walk Permanent Component

In this note, we revisit the univariate unobserved-component (UC) model of 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 it is dominated by the permanent component.

MoreLess

Year of publication:	2008-11-11
Authors:	Xu, Zhiwei

More details

Type of publication:	Book / Working Paper
Language:	English
Notes:	Xu, Zhiwei (2008): Univariate Unobserved-Component Model with Non-Random Walk Permanent Component.
Classification:	E32 - Business Fluctuations; Cycles ; C22 - Time-Series Models ; C49 - Econometric and Statistical Methods: Special Topics. Other
Source:	BASE

Persistent link: https://www.econbiz.de/10015213223