Univariate unobserved-component model with a nonrandom-walk permanent component

C-Tier
Journal: Applied Economics
Year: 2013
Volume: 45
Issue: 33
Pages: 4733-4737

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

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

Abstract

In this article, we revisit the univariate unobserved-component (UC) model of the US GDP by relaxing the traditional random-walk assumption of the permanent component. Since our general UC model is unidentified, we investigate the upper bound of the contribution of the transitory component, and find the GDP fluctuation is dominated by the permanent component.

Technical Details

RePEc Handle
repec:taf:applec:v:45:y:2013:i:33:p:4733-4737
Journal Field
General
Author Count
1
Added to Database
2026-01-29