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Structural Time Series Models for Business Cycle Analysis Author info | Abstract | Publisher info | Download info | Related research | Statistics Proietti, Tommaso
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The chapter deals with parametric models for the measurement of the business cycle in economic time series. It presents univariate methods based on parametric trend{cycle decom- positions and multivariate models featuring a Phillips type relationship between the output gap and inflation and the estimation of the gap using mixed frequency data. We finally address the issue of assessing the accuracy of the output gap estimates.
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number
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Date of creation: 20 Jan 2008Date of revision:
Handle: RePEc:pra:mprapa:6854Contact details of provider: Postal: Schackstr. 4, D-80539 Munich, Germany Phone: +49-(0)89-2180-2219 Fax: +49-(0)89-2180-3900 Web page: http://mpra.ub.uni-muenchen.de More information through EDIRC
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Keywords: State Space Models. Kalman Filter and Smoother. Bayesian Estimation. Other versions of this item:
Find related papers by JEL classification: C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
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"IMF Estimates of Potential Output: Theory and Practice ,"
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"Dating Business Cycles: A Methodological Contribution with an Application to the Euro Area ,"
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Ciccarelli, Carlo & Fenoaltea, Stefano & Proietti, Tommaso, 2008.
"The comovements of construction in Italy's regions, 1861-1913 ,"
MPRA Paper
8870, University Library of Munich, Germany.
[Downloadable!]
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