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

Xu, Zhiwei (2008): Univariate Unobserved-Component Model with Non-Random Walk Permanent Component.

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.

• Item Type: MPRA Paper
• Language: English
• 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 ; Diffusion Processes; C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C49 - Other

References

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