Xu, Zhiwei (2008): Univariate Unobserved-Component Model with Non-Random Walk Permanent Component.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Univariate Unobserved-Component Model with Non-Random Walk Permanent Component|
|English Title:||Univariate Unobserved-Component Model with Non-Random Walk Permanent Component|
|Keywords:||Unobserved-Component Model; Random Walk Assumption; Permanent and Transitory Shocks|
|Subjects:||E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations; Cycles
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C49 - Other
|Depositing User:||Zhiwei Xu|
|Date Deposited:||09. Dec 2008 14:47|
|Last Modified:||13. Feb 2013 03:56|
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