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Univariate Unobserved-Component Model with a Non-Random-Walk Permanent Component

By Zhiwei Xu

Abstract

In this note, we revisit the univariate unobserved-component (UC) model of US GDP by relaxing the traditional random-walk assumption of the permanent component. Since our general UC model is unidentified, we investigate the upper bound of the contribution of the transitory component, and find it is dominated by the permanent component.

Topics: E32 - Business Fluctuations; Cycles, C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models, C49 - Other
Year: 2008
DOI identifier: 10.1080/00036846.2013.799756
OAI identifier: oai:mpra.ub.uni-muenchen.de:46557

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