Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5058381 | Economics Letters | 2016 | 4 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Carsten Trenkler, Enzo Weber,