On the identification of multivariate correlated unobserved components models

Trenkler, Carsten ; Weber, Enzo

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URL: https://ub-madoc.bib.uni-mannheim.de/39656
URN: urn:nbn:de:bsz:180-madoc-396560
Document Type: Working paper
Year of publication: 2015
The title of a journal, publication series: Working Paper Series
Volume: 15-12
Place of publication: Mannheim
Publication language: English
Institution: School of Law and Economics > Zeitreihenökonometrie (Trenkler 2007-)
MADOC publication series: Department of Economics > Working Paper Series
Subject: 330 Economics
Classification: JEL: C32 , E32,
Keywords (English): Unobserved components models , Identification , VARMA
Abstract: 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.

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