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AA00260492-20200000-0001.pdf
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Title |
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How are shocks to trend and cycle correlated? : a simple methodology for unidentified unobserved components models
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長倉, 大輔
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ナガクラ, ダイスケ
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Romanization |
Nagakura, Daisuke
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Affiliation |
慶應義塾大学経済学部
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Faculty of Economics, Keio University
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Keio Economic Society, Keio University
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2019
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Keio economic studies
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55
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2019
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1
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14
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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.
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Keyword |
Unobserved components model
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Jun 3, 2020 | | インデックス を変更 |
Jun 8, 2020 | | Title を変更 |
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