On the identification of multivariate correlated unobserved components models

C-Tier
Journal: Economics Letters
Year: 2016
Volume: 138
Issue: C
Pages: 15-18

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

This letter analyses identification for multivariate unobserved components models with correlated trend and cycle innovations. We address both the order as well as the rank criteria. Identification is shown for lag structures with lengths larger than one. We also discuss UC models with common features and with cycles that allow for dynamic spillovers.

Technical Details

RePEc Handle
repec:eee:ecolet:v:138:y:2016:i:c:p:15-18
Journal Field
General
Author Count
2
Added to Database
2026-01-29