Reconciling output gaps: Unobserved components model and Hodrick–Prescott filter
نویسندگان
چکیده
منابع مشابه
Measuring the Euro Area Output Gap using a Multivariate Unobserved Components Model Containing Phase Shifts
Several recent studies have used multivariate unobserved components models to identify the output gap and the NAIRU. A key assumption of these models is that one common cycle component, such as the output gap, drives the cyclical fluctuations in all variables included in the model. This paper also uses the multivariate approach to estimate the euro area output gap and the trends and cycles in o...
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ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 2017
ISSN: 0165-1889
DOI: 10.1016/j.jedc.2016.12.004