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 › peer-review

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
Externally published	Yes

Keywords

C22
C49
Cycle
E32
Impulse response
Trend
Unobserved components model

ASJC Scopus subject areas

Finance
Economics and Econometrics

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

Access to Document

10.1016/j.econlet.2007.12.015

Cite this

@article{3196a4590af64918bc27055161051cab,

title = "A note on the two assumptions of standard unobserved components models",

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.",

keywords = "C22, C49, Cycle, E32, Impulse response, Trend, Unobserved components model",

author = "Daisuke Nagakura",

year = "2008",

month = jul,

doi = "10.1016/j.econlet.2007.12.015",

language = "English",

volume = "100",

pages = "123--125",

journal = "Economics Letters",

issn = "0165-1765",

publisher = "Elsevier",

number = "1",

}

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

UR - http://www.scopus.com/inward/record.url?scp=43949084701&partnerID=8YFLogxK

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 -

A note on the two assumptions of standard unobserved components models

Abstract

Keywords

ASJC Scopus subject areas

UN SDGs

Access to Document

Other files and links

Fingerprint

Cite this