Showing 1 - 6 of 6
This note provides explanations for an unexpected result, namely, the estimated parameter of the correlation coefficient of the trend shock and cycle shock in the state–space model is almost always (positive or negative) unity, even when the true variance of the trend shock is zero. It is...
Persistent link: https://www.econbiz.de/10010594150
This paper studies issues related to the estimation of a structural change in the persistence of a univariate time series. The break is such that the process has a unit root [i.e., is I(1)] in the pre-break regime but reverts to a stationary [i.e., I(0)] process in the post-break regime or vice...
Persistent link: https://www.econbiz.de/10011041702
Persistent link: https://www.econbiz.de/10005269658
Persistent link: https://www.econbiz.de/10005269665
Persistent link: https://www.econbiz.de/10005270472
Persistent link: https://www.econbiz.de/10005275398