On the identification of multivariate correlated unobserved components models

Carsten Trenkler and Enzo Weber

No 15-12, Working Papers from University of Mannheim, Department of Economics

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.

Keywords: Unobserved components models; Identification; VARMA (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2015
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
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Citations: View citations in EconPapers (1)

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https://madoc.bib.uni-mannheim.de/39656/1/Trenkler_und_Weber_15-12.pdf

Related works:
Journal Article: On the identification of multivariate correlated unobserved components models (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:mnh:wpaper:39656

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