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On the identification of multivariate correlated unobserved components models

Trenkler, Carsten; Weber, Enzo - 2015

This paper analyses identification for multivariate unobserved components models in which the innovations to trend and … cycle are correlated. We address order and rank criteria as well as potential non-uniqueness of the reduced-form VARMA model …. Identification is shown for lag lengths larger than one in case of a diagonal vector autoregressive cycle. We also discuss UC models …

Persistent link: https://www.econbiz.de/10011491916

On the identification of multivariate correlated unobserved components models

Trenkler, Carsten; Weber, Enzo - In: Economics letters 138 (2016), pp. 15-18

Persistent link: https://www.econbiz.de/10011615339

Determinacy, indeterminacy and dynamic misspecification in linear rational expectations models

Fanelli, Luca - In: Journal of Econometrics 170 (2012) 1, pp. 153-163

This paper proposes a testing strategy for the null hypothesis that a multivariate linear rational expectations (LRE) model may have a unique stable solution (determinacy) against the alternative of multiple stable solutions (indeterminacy). The testing problem is addressed by a...

Persistent link: https://www.econbiz.de/10011052239

Business Cycle Analysis and VARMA models

Kascha, Christian; Mertens, Karel - Department of Economics, European University Institute - 2006

that do not suffer from this type of misspecification. We estimate VARMA and state space models using simulated data from a … by using algorithms based on a VARMA representation. However, algorithms that are based on the state space representation …

Persistent link: https://www.econbiz.de/10005816378

Measuring stylized business cycles facts using stochastic cycles

Rünstler, Gerhard - 1997

The study proposes a multivariate unobserved components model in order to examine relationships at business cycle frequencies among macroeconomic variables. The series are decomposed into non-stationary trends, stationary cycles, and an irregular component. The co-movements among the particular...

Persistent link: https://www.econbiz.de/10010291762

Economic Trends and Cycles in Crime: A Study for England and Wales

Vujic, Suncica; Koopman, Siem Jan; Commandeur, Jacques J. F. - In: Journal of Economics and Statistics (Jahrbuecher fuer … 232 (2012) 6, pp. 652-677

This paper models cyclical behaviour in property crime series (burglary and theft) in relation to the macroeconomic activity indicators in England andWales in the period from 1955 to 2001. Using unobserved components (UC) time series models, univariate time series analysis suggests that recorded...

Persistent link: https://www.econbiz.de/10010907921

Business, housing and credit cycles

Rünstler, Gerhard; Vlekke, Marente - 2016

We use multivariate unobserved components models to estimate trend and cyclical components in GDP, credit volumes and house prices for the U.S. and the five largest European economies. With the exception of Germany, we find large and long cycles in credit and house prices, which are highly...

Persistent link: https://www.econbiz.de/10011605960

Measuring Stylized Business Cycles Facts Using Stochastic Cycles

Ruenstler, Gerhard - Department of Economics and Finance Research and … - 1997

Persistent link: https://www.econbiz.de/10005572019

Estimating the potential output of the euro area with a semi-structural multivariate Hodrick-Prescott filter

LEMOINE, Matthieu; CHAGNY, Odile - Society for Computational Economics - SCE - 2005

In this paper, we develop an analytical framework for the estimation of potential output and output gaps for the euro area combining multivariate filtering techniques with the production function approach. The advantage of this methodology lies in the fact that it combines a model based approach...

Persistent link: https://www.econbiz.de/10005132700

Discussion of "The source of historical economic fluctuations: An analysis using long-run restrictions" by Neville Francis and Valerie A. Ramey

Uhlig, Harald - 2006

-term identification delivers more reasonable results. …

Persistent link: https://www.econbiz.de/10010263638