[图书][B] A simple multivariate filter for the measurement of potential output
D Laxton, R Tetlow - 1992 - douglaslaxton.org
This paper examines techniques that have been used to estimate potential output and finds
them wanting. We suggest a simple multivariate-filtering technique that is a generalization of …
them wanting. We suggest a simple multivariate-filtering technique that is a generalization of …
Estimating potential output with a multivariate filter
J Beneš, K Clinton, R Garcia-Saltos, M Johnson… - 2010 - papers.ssrn.com
This paper develops a simple model for measuring potential output that uses data on
inflation, unemployment, and capacity utilization. We apply the model to 10 countries, in …
inflation, unemployment, and capacity utilization. We apply the model to 10 countries, in …
Estimating potential output: a semi-structural approach
B Hunt, P Conway - Reserve Bank of New Zealand Discussion …, 1997 - papers.ssrn.com
As part of the new macroeconomic modelling project at the Reserve Bank of New Zealand,
considerable effort has been directed towards constructing an historical estimate of the …
considerable effort has been directed towards constructing an historical estimate of the …
A multivariate filter for measuring potential output and the NAIRU: application to the Czech Republic
J Benes, P N'Diaye - 2004 - papers.ssrn.com
This paper presents a multivariate (MV) methodology for obtaining measures of excess
demand that can facilitate discussion of monetary policy issues and improve policy …
demand that can facilitate discussion of monetary policy issues and improve policy …
Estimating potential output as a latent variable
KN Kuttner - Journal of business & economic statistics, 1994 - Taylor & Francis
This article proposes a new method for estimating potential output in which potential real
gross domestic product (GDP) is modeled as an unobserved stochastic trend, and …
gross domestic product (GDP) is modeled as an unobserved stochastic trend, and …
The leading indicator approach to economic forecasting—retrospect and prospect
PA Klein, GH Moore - Journal of forecasting, 1983 - Wiley Online Library
Our purpose in this paper is to explain briefly the theory and rationale underlying the
leading, coincident and lagging indicators, describe the more important statistical …
leading, coincident and lagging indicators, describe the more important statistical …
Computing observation weights for signal extraction and filtering
SJ Koopman, A Harvey - Journal of Economic Dynamics and Control, 2003 - Elsevier
We present algorithms for computing the weights implicitly assigned to observations when
estimating unobserved components, by filtering or smoothing, using a model in state space …
estimating unobserved components, by filtering or smoothing, using a model in state space …
Comparing semi-structural methods to estimate unobserved variables: the HPMV and Kalman filters approaches
L Boone - 2000 - oecd-ilibrary.org
Economists often seek to estimate unobserved variables, representing “equilibrium” or
“expected” values of economic variables, as benchmarks against which observed, realised …
“expected” values of economic variables, as benchmarks against which observed, realised …
On adjusting the Hodrick-Prescott filter for the frequency of observations
This paper studies how the Hodrick-Prescott filter should be adjusted when changing the
frequency of observations. It complements the results of Baxter and King (1999) with an …
frequency of observations. It complements the results of Baxter and King (1999) with an …
[图书][B] A simple multivariate filter for estimating potential output
P Blagrave, MR Garcia-Saltos, MD Laxton, F Zhang - 2015 - books.google.com
Estimates of potential output are an important ingredient of structured forecasting and policy
analysis. Using information on consensus forecasts, this paper extends the multivariate filter …
analysis. Using information on consensus forecasts, this paper extends the multivariate filter …