A note on the two assumptions of standard unobserved components models

DOI10.1016/J.ECONLET.2007.12.015zbMath1255.60057OpenAlexW3121908048MaRDI QIDQ1934846

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)

Related Items (1)

What are the Differences in Trend Cycle Decompositions by Beveridge and Nelson and by Unobserved Component Models?

Cites Work

• The Relative Importance of Permanent and Transitory Components: Identification and Some Theoretical Bounds
• Are Output Fluctuations Transitory?
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