EconPapers    
Economics at your fingertips  
 

The Multivariate Simultaneous Unobserved Compenents Model and Identification via Heteroskedasticity

Ivan Mendieta-Muñoz and Mengheng Li

Working Paper Series, Department of Economics, University of Utah from University of Utah, Department of Economics

Abstract: We propose a multivariate simultaneous unobserved components framework to determine the two-sided interactions between structural trend and cycle innovations. We relax the standard assumption in unobserved components models that trends are only driven by permanent shocks and cycles are only driven by transitory shocks by considering the possible spillover effects between structural innovations. The direction of spillover has a structural interpretation, whose identification is achieved via heteroskedasticity. We provide identifiability conditions and develop an efficient Bayesian MCMC procedure for estimation. Empirical implementations for both Okun's law and the Phillips curve show evidence of significant spillovers between trend and cycle components.

Keywords: Unobserved components; Identification via heteroskedasticity; Trends and cycles; Permanent and transitory shocks; State space models; Spillover structural effects. JEL Classification: C11; C32; E31; E32; E52 (search for similar items in EconPapers)
Pages: 54
Date: 2019
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://economics.utah.edu/research/publications/2019-06.pdf (application/pdf)

Related works:
Working Paper: The multivariate simultaneous unobserved components model and identification via heteroskedasticity (2019) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:uta:papers:2019_06

Access Statistics for this paper

More papers in Working Paper Series, Department of Economics, University of Utah from University of Utah, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2020-04-02
Handle: RePEc:uta:papers:2019_06