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Multivariate models with dual cycles: implications for output gap and potential growth measurement

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  • Philippe Moës

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Bibliographic Info

Article provided by Springer in its journal Empirical Economics.

Volume (Year): 42 (2012)
Issue (Month): 3 (June)
Pages: 791-818

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Handle: RePEc:spr:empeco:v:42:y:2012:i:3:p:791-818

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Related research

Keywords: Output gap; Potential growth; Hysteresis; Structural time series models; C32; E32;

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  1. Olivier J. Blanchard & Lawrence H. Summers, 1986. "Hysteresis and the European Unemployment Problem," NBER Working Papers 1950, National Bureau of Economic Research, Inc.
  2. Olivier J. Blanchard & Lawrence H. Summers, 1986. "Hysteresis in Unemployment," NBER Working Papers 2035, National Bureau of Economic Research, Inc.
  3. Mario Forno & Marco Lippi & Lucrezia Reichlin & Filippo Altissimo & Antonio Bassanetti, 2003. "Eurocoin: A Real Time Coincident Indicator Of The Euro Area Business Cycle," Computing in Economics and Finance 2003 242, Society for Computational Economics.
  4. Tommaso Proietti, 2006. "Trend-Cycle Decompositions with Correlated Components," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 25(1), pages 61-84.
  5. Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999. "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.
  6. Jaeger, Albert & Parkinson, Martin, 1994. "Some evidence on hysteresis in unemployment rates," European Economic Review, Elsevier, vol. 38(2), pages 329-342, February.
  7. Pierre Perron & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics wp2009-006, Boston University - Department of Economics, revised Feb 2009.
  8. Adrian Pagan & Don Harding, 2005. "A suggested framework for classifying the modes of cycle research," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 20(2), pages 151-159.
  9. Philippe Moës, 2006. "The production function approach to the Belgian output gap, Estimation of a Multivariate Structural Time Series Model," Working Paper Research, National Bank of Belgium 89, National Bank of Belgium.
  10. James C. Morley & Charles R. Nelson & Eric Zivot, 2003. "Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 235-243, May.
  11. Tommaso Proietti & Alberto Musso & Thomas Westermann, 2007. "Estimating potential output and the output gap for the euro area: a model-based production function approach," Empirical Economics, Springer, Springer, vol. 33(1), pages 85-113, July.
  12. Tara M. Sinclair, 2009. "The Relationships between Permanent and Transitory Movements in U.S. Output and the Unemployment Rate," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 41(2-3), pages 529-542, 03.
  13. Jurgen A. Doornik & Henrik Hansen, 2008. "An Omnibus Test for Univariate and Multivariate Normality," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 927-939, December.
  14. Jaeger, Albert & Parkinson, Martin, 1990. "Testing for Hysteresis in Unemployment: An Unobserved Components Approach," Empirical Economics, Springer, Springer, vol. 15(2), pages 185-98.
  15. Proietti, Tommaso & Musso, Alberto, 2007. "Growth accounting for the euro area: a structural approach," Working Paper Series 0804, European Central Bank.
  16. Kum Hwa Oh & Eric Zivot, 2006. "The Clark Model with Correlated Components," Working Papers UWEC-2006-06, University of Washington, Department of Economics.
  17. Sinclair Tara M, 2009. "Asymmetry in the Business Cycle: Friedman's Plucking Model with Correlated Innovations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(1), pages 1-31, December.
  18. Gerhard Runstler, 2004. "Modelling phase shifts among stochastic cycles," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 232-248, 06.
  19. Christophe Planas & Alessandro Rossi & Gabriele Fiorentini, 2008. "The marginal likelihood of Structural Time Series Models, with application to the euroareaa nd US NAIRU," Working Paper Series, The Rimini Centre for Economic Analysis 21-08, The Rimini Centre for Economic Analysis, revised Jan 2008.
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