Unobserved Component Models (UCM)

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Unobserved Component Models (UCM)

• Jonas Brab, Frieder Mokinski

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1.Intuition

• Both stochastic time trend and cycle
• Not observed separately
• ? problem of discrimination between both effects

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2. General UCM (1)
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2. General UCM (2)
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3.Beveridge-Nelson decomposition (1)
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3.Beveridge-Nelson decomposition (2)
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3.Beveridge-Nelson decomposition (4)