On the identification of multivariate correlated unobserved components models
| Autor: | Carsten Trenkler, Weber, Enzo |
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| Jazyk: | angličtina |
| Rok vydání: | 2015 |
| Předmět: | |
| Zdroj: | MADOC-University of Mannheim |
| Popis: | This paper analyses identification for multivariate unobserved components models in which the innovations to trend and cycle are correlated. We address order and rank criteria as well as potential non-uniqueness of the reduced-form VARMA model. Identification is shown for lag lengths larger than one in case of a diagonal vector autoregressive cycle. We also discuss UC models with common features and with cycles that allow for dynamic spillovers. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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