论文标题
未观察到的组件模型的分数趋势
Fractional trends in unobserved components models
论文作者
论文摘要
我们开发了未观察到的组件模型的概括，该模型通过将永久组件作为分数集成过程进行建模，从而允许多种长期的动力学。该模型不需要平稳性，并且可以以状态空间形式施放。在多元设置中，分数趋势可能会产生协调系统。我们为公共分数集成的组件得出Kalman滤波器估计量，并建立最大似然估计器的一致性和渐近（混合）正态性。我们应用模型来提取三种美国通货膨胀措施的共同长期组成部分，在这里我们表明$ i（1）$假设可能会违反共同趋势。
We develop a generalization of unobserved components models that allows for a wide range of long-run dynamics by modelling the permanent component as a fractionally integrated process. The model does not require stationarity and can be cast in state space form. In a multivariate setup, fractional trends may yield a cointegrated system. We derive the Kalman filter estimator for the common fractionally integrated component and establish consistency and asymptotic (mixed) normality of the maximum likelihood estimator. We apply the model to extract a common long-run component of three US inflation measures, where we show that the $I(1)$ assumption is likely to be violated for the common trend.
