A note on the two assumptions of standard unobserved components models

DOI10.1016/J.ECONLET.2007.12.015MaRDI QIDQ1934846zbMATH OpenOpenAlexFDO

Authors Daisuke Nagakura

Publication date 29 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2007.12.015

zbMATH Keywords

trendcycleimpulse responseunobserved components model

Mathematics Subject Classification ID

Stationary stochastic processes (60G10)

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Cites work

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• Are output fluctuations transitory?
• The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds

Cited in

(3)

• What are the Differences in Trend Cycle Decompositions by Beveridge and Nelson and by Unobserved Component Models?
• scientific article; zbMATH DE number 2230348 (Why is no real title available?)
• Unobserved variables. Models and misunderstandings

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