Structural Time Series Models for Business Cycle Analysis

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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Year of publication:	2008-01-20
Authors:	Proietti, Tommaso
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Keywords:	State Space Models. Kalman Filter and Smoother. Bayesian Estimation

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C32 - Time-Series Models ; E32 - Business Fluctuations; Cycles ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005260215