IDEAS home Printed from https://ideas.repec.org/p/udb/wpaper/uwec-2007-07.html
   My bibliography  Save this paper

Implications of Two Measures of Persistence for Correlation Between Permanent and Transitory Shocks in U.S. Real GDP

Author

Listed:
  • Daisuke Nagakura
  • Eric Zivot

Abstract

Conventionally, shocks to permanent and transitory components in the unobserved components (UC) model for the log of real GDP are assumed to be uncorrelated. This assumption is mainly for identification of model parameters. In this paper, we show important implications of two popular measures of persistence for the correlation between permanent and transitory shocks in the UC model, and demonstrate that the correlation is negative for the log of U.S. real GDP under a very general specification of the cycle process.

Suggested Citation

  • Daisuke Nagakura & Eric Zivot, 2007. "Implications of Two Measures of Persistence for Correlation Between Permanent and Transitory Shocks in U.S. Real GDP," Working Papers UWEC-2007-07, University of Washington, Department of Economics.
    • Handle: RePEc:udb:wpaper:uwec-2007-07
    as

    Download full text from publisher

    File URL: http://faculty.washington.edu/ezivot/research/trendcyclecorrelation.pdf
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kum Hwa Oh & Eric Zivot & Drew Creal, 2006. "The Relationship between the Beveridge-Nelson Decomposition andUnobserved Component Models with Correlated Shocks," Working Papers UWEC-2006-16-FC, University of Washington, Department of Economics.
    2. 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.

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:udb:wpaper:uwec-2007-07. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Michael Goldblatt (email available below). General contact details of provider: https://edirc.repec.org/data/deuwaus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.