A multivariate unobserved components model of cyclical activity

@inproceedings{Scott2000AMU,
  title={A multivariate unobserved components model of cyclical activity},
  author={A. Scott},
  year={2000}
}
1 2 This paper presents results from the estimation of a multivariate unobserved components model of cyclical activity. The model is motivated by a desire to let the data speak as much as possible, and hence to avoid imposing ad hoc and unjustifiable assumptions about trends and cycles. Estimated over the period 1970:1 to 1999:3 via the Kalman filter and maximum likelihood, the model identifies a common, trendreverting component to real output, unemployment and capacity utilisation. The… CONTINUE READING

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