How Are Shocks to Trend and Cycle Correlated? A Simple Methodology for Unidentified Unobserved Components Models

Daisuke Nagakura

Global COE Hi-Stat Discussion Paper Series from Institute of Economic Research, Hitotsubashi University

Abstract: In this paper, we propose a simple methodology for investigating how shocks to trend and cycle are correlated in unidentified unobserved components models, in which the correlation is not identified. The proposed methodology is applied to U.S. and U.K. real GDP data. We find that the correlation parameters are negative for both countries. We also investigate how changing the identification restriction results in different trend and cycle estimates.

Keywords: Unobserved components model; Trend; Cycle; Business Cycle Analysis (search for similar items in EconPapers)
Date: 2011-03
New Economics Papers: this item is included in nep-cba, nep-ets and nep-mac
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Citations: View citations in EconPapers (1)

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Working Paper: How Are Shocks to Trend and Cycle Correlated? A Simple Methodology for Unidentified Unobserved Components Models (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hst:ghsdps:gd10-172

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