A note on the two assumptions of standard unobserved components models

Daisuke Nagakura

doi:10.1016/j.econlet.2007.12.015

A note on the two assumptions of standard unobserved components models

Daisuke Nagakura

Research output: Contribution to journal › Article

2 Citations (Scopus)

Abstract

In this note, I consider a general class of unobserved components (UC) models and derive a relevant inequality. This inequality implies that either of the two assumptions of standard UC models, namely, a random walk trend and uncorrelated shocks, is not satisfied if the impulse response measure introduced by [Campbell, J.Y. and N.G. Mankiw, 1987a. Are output fluctuations transitory? Quarterly Journal of Economics 102, 857-880, Campbell, J.Y. and N.G. Mankiw, 1987b. Permanent and transitory components in macroeconomic fluctuations, American Economic Review (Papers and Proceedings) 77, 111-117] is greater than 1.

Original language	English
Pages (from-to)	123-125
Number of pages	3
Journal	Economics Letters
Volume	100
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2007.12.015
Publication status	Published - 2008 Jul 1
Externally published	Yes

Keywords

C22
C49
Cycle
E32
Impulse response
Trend
Unobserved components model

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2007.12.015

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Nagakura, D. (2008). A note on the two assumptions of standard unobserved components models. Economics Letters, 100(1), 123-125. https://doi.org/10.1016/j.econlet.2007.12.015

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