Univariate Unobserved-Component Model with Non-Random Walk Permanent Component
AbstractIn 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 12038.
Date of creation: 11 Nov 2008
Date of revision:
Unobserved-Component Model; Random Walk Assumption; Permanent and Transitory Shocks;
Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
This paper has been announced in the following NEP Reports:
- NEP-ALL-2008-12-14 (All new papers)
- NEP-ECM-2008-12-14 (Econometrics)
- NEP-ETS-2008-12-14 (Econometric Time Series)
- NEP-MAC-2008-12-14 (Macroeconomics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
- Oh, Kum Hwa & Zivot, Eric & Creal, Drew, 2008. "The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics," Journal of Econometrics, Elsevier, vol. 146(2), pages 207-219, October.
- Charles Nelson & Eric Zivot, 2000. "Why are Beveridge-Nelson and Unobserved-Component Decompositions of GDP so Different?," Econometric Society World Congress 2000 Contributed Papers 0692, Econometric Society.
- James C. Morley & Charles R. Nelson & Eric Zivot, 2003.
"Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?,"
The Review of Economics and Statistics,
MIT Press, vol. 85(2), pages 235-243, May.
- Tom Doan, . "RATS programs to replicate Morley-Nelson-Zivot state space decomposition," Statistical Software Components RTZ00115, Boston College Department of Economics.
- Nagakura, Daisuke, 2008. "A note on the two assumptions of standard unobserved components models," Economics Letters, Elsevier, vol. 100(1), pages 123-125, July.
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