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

$51.63 plus tax (Refund Policy)

Buy Article:


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.

Keywords: C22; C49; E32; permanent and transitory shocks; random-walk assumption; unobserved-component model

Document Type: Research Article

DOI: http://dx.doi.org/10.1080/00036846.2013.799756

Affiliations: Department of Economics, Hong Kong University of Science and Technology, Hong Kong, Hong Kong

Publication date: November 1, 2013

More about this publication?
Related content

Share Content

Access Key

Free Content
Free content
New Content
New content
Open Access Content
Open access content
Subscribed Content
Subscribed content
Free Trial Content
Free trial content
Cookie Policy
Cookie Policy
ingentaconnect website makes use of cookies so as to keep track of data that you have filled in. I am Happy with this Find out more