Structural Time-Series Models with Common Trends and Common Cycles
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- Trenkler, Carsten & Weber, Enzo, 2016.
"On the identification of multivariate correlated unobserved components models,"
Elsevier, vol. 138(C), pages 15-18.
- Trenkler, Carsten & Weber, Enzo, 2015. "On the identification of multivariate correlated unobserved components models," Working Papers 15-12, University of Mannheim, Department of Economics.
- Soloschenko, Max & Weber, Enzo, 2014. "Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems 475, University of Regensburg, Department of Economics.
- James Morley & Tara M. Sinclair, 2005. "Testing for Stationarity and Cointegration in an Unobserved Components Framework," Computing in Economics and Finance 2005 451, Society for Computational Economics.
- Riccardo Corradini, 2005.
"An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle,"
Computing in Economics and Finance 2005
28, Society for Computational Economics.
- Riccardo Corradini, 2005. "An Empirical Analysis of Permanent Income Hypothesis Applied to Italy using State Space Models with non zero correlation between trend and cycle," Econometrics 0509009, EconWPA.
- Mitra, Sinchan & Sinclair, Tara M., 2012.
"Output Fluctuations In The G-7: An Unobserved Components Approach,"
Cambridge University Press, vol. 16(03), pages 396-422, June.
- Sinchan Mitra & Tara M. Sinclair, "undated". "Output Fluctuations in the G-7: An Unobserved Components Approach," MRG Discussion Paper Series 2509, School of Economics, University of Queensland, Australia.
- Tara Sinclair & Sinchan Mitra, 2008. "Output Fluctuations in the G-7: An Unobserved Components Approach," Working Papers 2008-04, The George Washington University, Institute for International Economic Policy.
- Esa Mangeloja, 2003. "Structural testing of Business Cycles," Macroeconomics 0308004, EconWPA.
- Islas C., Alejandro & Cortez, Willy Walter, 2013. "An assessment of the dynamics between the permanent and transitory components of Mexico's output and unemployment," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), December.
More about this item
Keywordsbusiness cycles; common trends; common cycles; unobserved components models; Beveridge-Nelson;
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
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