On the identification of multivariate correlated unobserved components models

DOI10.1016/J.ECONLET.2015.11.009MaRDI QIDQ1667981zbMATH OpenOpenAlexFDO

Authors Carsten Trenkler, Enzo Weber

Publication date 31 August 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://madoc.bib.uni-mannheim.de/39656/1/Trenkler_und_Weber_15-12.pdf

zbMATH Keywords

identificationunobserved components modelsVARMA

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 951459 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
• IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS
• Linear transformations of vector ARMA processes

Cited in

(5)

• A note on the two assumptions of standard unobserved components models
• Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity
• IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS
• Miscellanea. On the identification of a single-factor model with correlated residuals
• On the correlations of trend-cycle errors

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