Luis Uzeda - Bank Publications

• State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models

  Staff Working Paper 2018-14 Luis Uzeda

  Implications for signal extraction from specifying unobserved components (UC) models with correlated or orthogonal innovations have been well investigated. In contrast, the forecasting implications of specifying UC models with different state correlation structures are less well understood.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C11, C15, C5, C51, C53