On the identification of multivariate correlated unobserved components models

Carsten Trenkler and Enzo Weber

Economics Letters, 2016, vol. 138, issue C, 15-18

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.

Keywords: Unobserved components models; Identification; VARMA (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (12)

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Working Paper: On the identification of multivariate correlated unobserved components models (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:138:y:2016:i:c:p:15-18

DOI: 10.1016/j.econlet.2015.11.009

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