On the identification of multivariate correlated unobserved components models

Preview

PDF
Trenkler_und_Weber_15-12.pdf - Published
Download (285kB)

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.