Hu, Yingyao; Moffitt, Robert A.; Sasaki, Yuya - In: Quantitative Economics 10 (2019) 4, pp. 1495-1536
This paper presents identification and estimation results for a flexible state space model. Our modification of the canonical model allows the permanent component to follow a unit root process and the transitory component to follow a semiparametric model of a higher-order...
