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An Unobserved-Component Model With Switching Permanent and Transitory Innovations

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  • Kuan, Chung-Ming
  • Huang, Yu-Lieh
  • Tsay, Ruey S.

Abstract

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Suggested Citation

  • Kuan, Chung-Ming & Huang, Yu-Lieh & Tsay, Ruey S., 2005. "An Unobserved-Component Model With Switching Permanent and Transitory Innovations," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 443-454, October.
    • Handle: RePEc:bes:jnlbes:v:23:y:2005:p:443-454
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    Citations

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    Cited by:

    1. Lee, Hwa-Taek & Yoon, Gawon, 2007. "Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates," Economics Working Papers 2007-24, Christian-Albrechts-University of Kiel, Department of Economics.
    2. Yu-Lieh Huang, 2009. "Identifying turbulent and calm regimes in stock prices: evidence from the Taiwan stock market," Applied Economics Letters, Taylor & Francis Journals, vol. 16(14), pages 1477-1481.
    3. Huang, Yu-Lieh & Huang, Chao-Hsi & Kuan, Chung-Ming, 2008. "Reexamining the permanent income hypothesis with uncertainty in permanent and transitory innovation states," Journal of Macroeconomics, Elsevier, vol. 30(4), pages 1816-1836, December.
    4. repec:hit:hitjcm:v:56:y:2015:i:1:p:117-134 is not listed on IDEAS
    5. Sinclair Tara M, 2009. "Asymmetry in the Business Cycle: Friedman's Plucking Model with Correlated Innovations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(1), pages 1-31, December.
    6. Huang, Yu-Lieh, 2012. "Measuring business cycles: A temporal disaggregation model with regime switching," Economic Modelling, Elsevier, vol. 29(2), pages 283-290.
    7. Yu-Lieh Huang & Chao-Hsi Huang, 2007. "The persistence of Taiwan's output fluctuations: an empirical study using innovation regime-switching model," Applied Economics, Taylor & Francis Journals, vol. 39(20), pages 2673-2679.
    8. Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008.
    9. Huang, Yu-Lieh & Huang, Chao-Hsi, 2015. "Uncertain Effects Of Shocks Vs. Uncertain Unit Root: An Alternative View Of U.S. Real Gdp," Hitotsubashi Journal of Economics, Hitotsubashi University, vol. 56(1), pages 117-134, June.
    10. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.
    11. Yu-Lieh Huang & Chia-Wen Ho, 2008. "Demarcating stable and turbulent regimes in Taiwan's stock market," Economics Bulletin, AccessEcon, vol. 3(35), pages 1-11.
    12. Marian Vavra, 2016. "Testing the Validity of Assumptions of UC-ARIMA Models for Trend-Cycle Decompositions," Working and Discussion Papers WP 4/2016, Research Department, National Bank of Slovakia.

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