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Univariate Unobserved-Component Model with a Non-Random-Walk Permanent Component

Xu, Zhiwei (2008): Univariate Unobserved-Component Model with a Non-Random-Walk Permanent Component. Forthcoming in: Applied Economics

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Abstract

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.

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  • Univariate Unobserved-Component Model with a Non-Random-Walk Permanent Component. (deposited 21 Sep 2013 13:45) [Currently Displayed]
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