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

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

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Xu, Zhiwei

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Zhiwei Xu

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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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 12038.

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Date of creation: 11 Nov 2008
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Handle: RePEc:pra:mprapa:12038

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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
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)

References listed on IDEAS
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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. [Downloadable!] (restricted)
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. [Downloadable!] (restricted)
Nagakura, Daisuke, 2008. "A note on the two assumptions of standard unobserved components models," Economics Letters, Elsevier, vol. 100(1), pages 123-125, July. [Downloadable!] (restricted)
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. [Downloadable!]

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