English, Article, Journal or magazine article edition: How Are Shocks to Trend and Cycle Correlated? A Simple Methodology for Unidentified Unobserved Components Models Daisuke Nagakura

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Bookmark: http://trove.nla.gov.au/version/35334
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • How Are Shocks to Trend and Cycle Correlated? A Simple Methodology for Unidentified Unobserved Components Models
Author
  • Daisuke Nagakura
Physical Description
  • preprint
Notes
  • In this paper, we propose a simple methodology for investigating how shocks to trend and cycle are correlated in unidentified unobserved components models, in which the correlation is not identified. The proposed methodology is applied to U.S. and U.K. real GDP data. We find that the correlation parameters are negative for both countries. We also investigate how changing the identification restriction results in different trend and cycle estimates. It is found that estimates of the trend and cycle can vary substantially depending on the identification restrictions imposed.
  • Business Cycle Analysis, Trend, Cycle, Permanent Component, Transitory Component, Unobserved Components Model
  • RePEc:ime:imedps:08-e-24
Language
  • English
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