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A Simultaneous Unobserved Components Analysis of US Output and the Great Moderation

Weber, Enzo (2009) A Simultaneous Unobserved Components Analysis of US Output and the Great Moderation. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 432, Working Paper, Regensburg.

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In an unobserved components framework of US output trend and cycle, this paper seeks to determine the causal interaction between permanent and transitory innovations. For the purpose of identification, strategies of augmenting the cyclical dynamics as well as allowing for shifts in volatility are proposed. In the early 1980s, substantial predominance of cycle shocks gives way to strong negative ...


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Item type:Monograph (Working Paper)
Series of the University of Regensburg:Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft
Date:10 July 2009
Institutions:Business, Economics and Information Systems > Institut für Volkswirtschaftslehre und Ökonometrie
Interdisciplinary Subject Network:Not selected
Identification Number:
RePEc:bay:rdwiwi:8613RePEc Handle
C32Journal of Economics Literature Classification
E32Journal of Economics Literature Classification
Keywords:Unobserved Components, Trend, Cycle, Identification, Great Moderation
Dewey Decimal Classification:300 Social sciences > 330 Economics
Refereed:No, this document will not be refereed
Created at the University of Regensburg:Yes
Item ID:8613
Owner only: item control page


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