Trenkler, Carsten and Weber, Enzo (2016) On the identification of multivariate correlated unobserved components models. ECONOMICS LETTERS, 138. pp. 15-18. ISSN 0165-1765, 1873-7374
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This letter analyses identification for multivariate unobserved components models with correlated trend and cycle innovations. We address both the order as well as the rank criteria. Identification is shown for lag structures with lengths larger than one. We also discuss UC models with common features and with cycles that allow for dynamic spillovers. (C) 2015 Elsevier B.V. All rights reserved.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | US OUTPUT; MOVEMENTS; PERMANENT; Unobserved components models; Identification; VARMA |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie > Lehrstuhl für Empirische Wirtschaftsforschung, insbesondere Makroökonomie und Arbeitsmarkt (Prof. Dr. Enzo Weber) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 01 Mar 2019 12:36 |
| Last Modified: | 07 Mar 2019 09:47 |
| URI: | https://pred.uni-regensburg.de/id/eprint/2225 |
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