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

Zhiwei Xu ()

Applied Economics, 2013, vol. 45, issue 33, 4733-4737

Abstract: 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.

Date: 2013
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DOI: 10.1080/00036846.2013.799756

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