When Can Trend-Cycle Decompositions Be Trusted?
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DOI: 10.17016/FEDS.2016.099
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- Elena Deryugina & Alexey Ponomarenko, 2019. "Disinflation and reliability of underlying inflation measures," Bank of Russia Working Paper Series wps44, Bank of Russia.
- Deryugina, Elena & Ponomarenko, Alexey & Rozhkova, Anna, 2020.
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- Elena Deryugina & Alexey Ponomarenko & Anna Rozhkova, 2018. "When are credit gap estimates reliable?," Bank of Russia Working Paper Series wps34, Bank of Russia.
- Manuel P. Gonzalez-Astudillo & Jean-Philippe Laforte, 2020. "Estimates of r* Consistent with a Supply-Side Structure and a Monetary Policy Rule for the U.S. Economy," Finance and Economics Discussion Series 2020-085, Board of Governors of the Federal Reserve System (U.S.).
- Max Soloschenko & Enzo Weber, 2021.
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- Soloschenko, Max & Weber, Enzo, 2012. "Trend-Cycle Interactions and the Subprime Crisis: Analysis of US and Canadian Output," University of Regensburg Working Papers in Business, Economics and Management Information Systems 470, University of Regensburg, Department of Economics.
- Agbeyegbe, Terence D., 2020. "Bayesian analysis of output gap in Barbados," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 1(1).
- Constantinescu, Mihnea & Nguyen, Anh D.M., 2018. "Unemployment or credit: Which one holds the potential? Results for a small open economy with a low degree of financialization," Economic Systems, Elsevier, vol. 42(4), pages 649-664.
- Julien Champagne & Guillaume Poulin‐Bellisle & Rodrigo Sekkel, 2018.
"The Real‐Time Properties of the Bank of Canada's Staff Output Gap Estimates,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(6), pages 1167-1188, September.
- Julien Champagne & Guillaume Poulin-Bellisle & Rodrigo Sekkel, 2016. "The Real-Time Properties of the Bank of Canada’s Staff Output Gap Estimates," Staff Working Papers 16-28, Bank of Canada.
- Canova, Fabio & Ferroni, Filippo, 2020.
"A hitchhiker guide to empirical macro models,"
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- Fabio Canova & Filippo Ferroni, 2021. "A Hitchhiker’s Guide to Empirical Macro Models," Working Paper Series WP-2021-15, Federal Reserve Bank of Chicago, revised 03 Oct 2021.
- Alessandro Barbarino & Travis J. Berge & Han Chen & Andrea Stella, 2020. "Which Output Gap Estimates Are Stable in Real Time and Why?," Finance and Economics Discussion Series 2020-102, Board of Governors of the Federal Reserve System (U.S.).
- Casey, Eddie, 2020. "Do macroeconomic forecasters use macroeconomics to forecast?," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1439-1453.
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More about this item
Keywords
unobserved component model; Trend-cycle decomposition; Trend-cycle correlation;
All these keywords.JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2017-01-01 (Econometric Time Series)
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