On the identification of multivariate correlated unobserved components models

Abstract

This letter analyses identification for multivariate unobserved components models with correlated trend and cycle innovations. We address both the order as well as the rank criteria. Identification is shown for lag structures with lengths larger than one. We also discuss UC models with common features and with cycles that allow for dynamic spillovers.

Cite article

Trenkler, C. & Weber, E. (2016): On the identification of multivariate correlated unobserved components models. In: Economics letters, Vol. 138, No. January, p. 15-18. DOI:10.1016/j.econlet.2015.11.009