Arbeitspapier

On the identification of multivariate correlated unobserved components models

This paper analyses identification for multivariate unobserved components models in which the innovations to trend and cycle are correlated. We address order and rank criteria as well as potential non-uniqueness of the reduced-form VARMA model. Identification is shown for lag lengths larger than one in case of a diagonal vector autoregressive cycle. We also discuss UC models with common features and with cycles that allow for dynamic spillovers.

Language
Englisch

Bibliographic citation
Series: Working Paper Series ; No. 15-12

Classification
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Business Fluctuations; Cycles
Subject
Unobserved components models
Identification
VARMA

Event
Geistige Schöpfung
(who)
Trenkler, Carsten
Weber, Enzo
Event
Veröffentlichung
(who)
University of Mannheim, Department of Economics
(where)
Mannheim
(when)
2015

Handle
URN
urn:nbn:de:bsz:180-madoc-396560
Last update
10.03.2025, 11:41 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Trenkler, Carsten
  • Weber, Enzo
  • University of Mannheim, Department of Economics

Time of origin

  • 2015

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