Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/129594
Authors: 
Trenkler, Carsten
Weber, Enzo
Year of Publication: 
2015
Series/Report no.: 
Working Paper Series, Department of Economics, University of Mannheim 15-12
Abstract: 
This paper analyses identification for multivariate unobserved components models in which the innovations to trend and cycle are correlated. We address order and rank criteria as well as potential non-uniqueness of the reduced-form VARMA model. Identification is shown for lag lengths larger than one in case of a diagonal vector autoregressive cycle. We also discuss UC models with common features and with cycles that allow for dynamic spillovers.
Subjects: 
Unobserved components models
Identification
VARMA
JEL: 
C32
E32
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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