Arbeitspapier
The multivariate simultaneous unobserved components model and identification via heteroskedasticity
We propose a multivariate simultaneous unobserved components framework to determine the two-sided interactions between structural trend and cycle innovations. We relax the standard assumption in unobserved components models that trends are only driven by permanent shocks and cycles are only driven by transitory shocks by considering the possible spillover effects between structural innovations. The direction of spillover has a structural interpretation, whose identification is achieved via heteroskedasticity. We provide identifiability conditions and develop an efficient Bayesian MCMC procedure for estimation. Empirical implementations for both Okun's law and the Phillips curve show evidence of significant spillovers between trend and cycle components.
- Language
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Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 2019-06
- Classification
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Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Price Level; Inflation; Deflation
Business Fluctuations; Cycles
Monetary Policy
- Subject
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Unobserved components
Identification via heteroskedasticity
Trends and cycles
Permanent and transitory shocks
State space models
Spillover structural effects
- Event
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Geistige Schöpfung
- (who)
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Li, Mengheng
Mendieta-Muñoz, Ivan
- Event
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Veröffentlichung
- (who)
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The University of Utah, Department of Economics
- (where)
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Salt Lake City, UT
- (when)
-
2019
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Li, Mengheng
- Mendieta-Muñoz, Ivan
- The University of Utah, Department of Economics
Time of origin
- 2019
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