Univariate Unobserved-Component Model with Non-Random Walk Permanent Component

Zhiwei Xu

MPRA Paper from University Library of Munich, Germany

Abstract: In this note, we revisit the univariate unobserved-component (UC) model of 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 it is dominated by the permanent component.

Keywords: Unobserved-Component Model; Random Walk Assumption; Permanent and Transitory Shocks (search for similar items in EconPapers)
JEL-codes: C22 C49 E32 (search for similar items in EconPapers)
Date: 2008-11-11
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https://mpra.ub.uni-muenchen.de/46557/1/MPRA_paper_46557.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:46162

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