Unobserved components models with correlated disturbances
โ Scribed by Tommaso Proietti
- Book ID
- 106301889
- Publisher
- Springer
- Year
- 2004
- Tongue
- English
- Weight
- 354 KB
- Volume
- 12
- Category
- Article
- ISSN
- 1613-981X
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
## Abstract Recent studies debate the effect of a permanent productivity shock on hours per capita within a structural VAR context. This paper examines the issue using a correlated unobserved components (UC) framework. The estimates show that permanent shocks to productivity are negatively correlat
This article reviews recent work on testing for the presence of non!stationary unobserved components and presents it in a uni\_ed way[ Tests against random walk components and seasonal components are given and it is shown how the procedures may be extended to multivariate models and models with stru