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Trend Extraction From Time Series With Structural Breaks and Missing Observations
Schlicht, Ekkehart - 2008
Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the …
Persistent link: https://www.econbiz.de/10010427520
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Recessions and instable estimates of potential output
Dovern, Jonas; Zuber, Christopher - 2017
This paper analyzes how the OECD revises potential output (PO) estimates after recessions. We show that downward revisions are substantial and mostly driven by supply shocks while PO estimates do not significantly react to demand shocks. In addition, revisions are partly caused by avoidable...
Persistent link: https://www.econbiz.de/10011798221
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Trend extraction from time series with structural breaks and missing observations
Schlicht, Ekkehart - 2008
Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the …
Persistent link: https://www.econbiz.de/10003951479
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A Multivariate Analysis of Forecast Disagreement: Confronting Models of Disagreement with SPF Data
Dovern, Jonas - Alfred-Weber-Institut für Wirtschaftswissenschaften, … - 2014
This paper documents multivariate forecast disagreement among professional forecasters of the Euro area economy and discusses implications for models of heterogeneous expectation formation. Disagreement varies over time and is strongly counter-cyclical. Disagreement is positively correlated with...
Persistent link: https://www.econbiz.de/10010928893
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A Multivariate Analysis of Forecast Disagreement: Confronting Models of Disagreement with SPF Data
Dovern, Jonas - 2014
This paper documents multivariate forecast disagreement among professional forecasters of the Euro area economy and discusses implications for models of heterogeneous expectation formation. Disagreement varies over time and is strongly counter-cyclical. Disagreement is positively correlated with...
Persistent link: https://www.econbiz.de/10011422281
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A multivariate analysis of forecast disagreement : confronting models of disagreement with SPF data
Dovern, Jonas - 2014
This paper documents multivariate forecast disagreement among professional forecasters of the Euro area economy and discusses implications for models of heterogeneous expectation formation. Disagreement varies over time and is strongly counter-cyclical. Disagreement is positively correlated with...
Persistent link: https://www.econbiz.de/10010424832
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Revisions of potential output estimates in the EU after the Great Recession
Dovern, Jonas; Zuber, Christopher - 2019
persistently revised downwards after the Great Recession. We decompose PO revisions into revisions of the capital stock, trend … labor, and trend total-factor productivity (TFP). Initially, trend TFP revisions contribute most to the overall PO revisions … while revisions of trend labor, mainly driven by revisions of the non-accelerating wage rate of unemployment (NAWRU), are …
Persistent link: https://www.econbiz.de/10012052787
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Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
Schlicht, Ekkehart - Volkswirtschaftliche Fakultät, … - 2004
This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997), originally proposed by Leser (1961). It builds on an approach to seasonal adjustment suggested by Leser (1963) and Schlicht (1981, 1984). A moments estimator for the smoothing parameter is proposed...
Persistent link: https://www.econbiz.de/10005187291
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Estimating the Smoothing Parameter in the So-Called Hodrick-Prescott Filter
Schlicht, Ekkehart - 2004
This note gives a fairly complete statistical description of the Hodrick-Prescott Filter (1997), originally proposed by Leser (1961). It builds on an approach to seasonal adjustment suggested by Leser (1963) and Schlicht (1981, 1984). A moments estimator for the smoothing parameter is proposed...
Persistent link: https://www.econbiz.de/10010427394
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Trend Extraction From Time Series With Structural Breaks
Schlicht, Ekkehart - 2007
Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the …
Persistent link: https://www.econbiz.de/10010427486