A note on the two assumptions of standard unobserved components models

DOI10.1016/J.ECONLET.2007.12.015zbMATH Open1255.60057OpenAlexW3121908048MaRDI QIDQ1934846FDOQ1934846

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

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zbMATH Keywords

trendcycleimpulse responseunobserved components model

Mathematics Subject Classification ID

Stationary stochastic processes (60G10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds
• Are output fluctuations transitory?

Cited In (3)

• What are the Differences in Trend Cycle Decompositions by Beveridge and Nelson and by Unobserved Component Models?
• Title not available (Why is that?)
• Unobserved variables. Models and misunderstandings

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