Arbeitspapier
On the identification of multivariate correlated unobserved components models
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 with common features and with cycles that allow for dynamic spillovers.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper Series ; No. 15-12
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Business Fluctuations; Cycles
- Thema
-
Unobserved components models
Identification
VARMA
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Trenkler, Carsten
Weber, Enzo
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Mannheim, Department of Economics
- (wo)
-
Mannheim
- (wann)
-
2015
- Handle
- URN
-
urn:nbn:de:bsz:180-madoc-396560
- Letzte Aktualisierung
-
20.09.2024, 08:23 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Trenkler, Carsten
- Weber, Enzo
- University of Mannheim, Department of Economics
Entstanden
- 2015
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