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 | |
| Publication status | Published - 2008 Jul |
| Externally published | Yes |
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Keywords
- C22
- C49
- Cycle
- E32
- Impulse response
- Trend
- Unobserved components model
ASJC Scopus subject areas
- Economics and Econometrics
- Finance
Cite this
A note on the two assumptions of standard unobserved components models. / Nagakura, Daisuke.
In: Economics Letters, Vol. 100, No. 1, 07.2008, p. 123-125.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - A note on the two assumptions of standard unobserved components models
AU - Nagakura, Daisuke
PY - 2008/7
Y1 - 2008/7
N2 - 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.
AB - 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.
KW - C22
KW - C49
KW - Cycle
KW - E32
KW - Impulse response
KW - Trend
KW - Unobserved components model
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UR - http://www.scopus.com/inward/citedby.url?scp=43949084701&partnerID=8YFLogxK
U2 - 10.1016/j.econlet.2007.12.015
DO - 10.1016/j.econlet.2007.12.015
M3 - Article
AN - SCOPUS:43949084701
VL - 100
SP - 123
EP - 125
JO - Economics Letters
JF - Economics Letters
SN - 0165-1765
IS - 1
ER -