, the signal accuracy and the correlation structure across signals, and analyze how time variation in these two properties …

In this paper, I propose a simple methodology for inferring the correlation between permanent and transitory shocks in … unidentified unobserved components (UC) models, where the correlation is not identified. However, I show that there is an upper … bound of the correlation implied from the unrestricted ARIMA reduced form. I apply the proposed methodology to GDP data of …

This paper examines the frequency-domain implications of the serial correlation common feature in order to evaluate its … correlation common feature in the first differences of a set of I(1) time series is not informative for the degree and the lead …