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Extracting business cycles using semi-parametric time-varying spectra with applications to US macroeconomic time series

Koopman, Siem Jan; Wong, Soon Yip - 2006

model specifications for the parameters are therefore not required. Parameter estimation is carried out in the frequency …

Persistent link: https://www.econbiz.de/10011350381

Measuring asymmetric stochastic cycle components in US macroeconomic time series

Koopman, Siem Jan; Lee, Kai Ming - 2005

To gain insights in the current status of the economy, macroeconomic time series are often decomposed into trend, cycle and irregular components. This can be done by nonparametric band-pass filtering methods in the frequency domain or by model-based decompositions based on autoregressive moving...

Persistent link: https://www.econbiz.de/10011346480

Tracking growth and the business cycle : a stochastic common cycle model for the Euro area

Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003

This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

Persistent link: https://www.econbiz.de/10011334364

An output gap measure for the euro area : exploiting country-level and cross-sectional data heterogeneity

Manuel, González-Astudillo, - 2018

heterogeneity. On the one hand, the method uses information on real GDP, inflation, and the unemployment rate for each member state … trend. The estimation of the model preferred by the data indicates that, because of negative shocks to trend output during …

Persistent link: https://www.econbiz.de/10011932248

Bayesian analysis of output gap in Barbados

Agbeyegbe, Terence D. - In: Latin American journal of central banking : LAJCB 1 (2020) 1/4, pp. 1-14

This article contributes to understanding the performance of various unobserved components (UC) models in fitting Barbados’ real GDP. Relying on recent UC models techniques, it finds support for the UC model that captures correlated disturbances, but not for the model that does not. The best...

Persistent link: https://www.econbiz.de/10012545648

On the Hamilton-HP filter controversy : evidence from German business cycles

Siemers, Lars - 2024 - This version: 12 December, 2024

HP filter in capturing the gap-inflation link, an issue especially important for central banks. Overall, our results …

Persistent link: https://www.econbiz.de/10015199437

Monitoring multicountry macroeconomic risk

Korobilis, Dimitris; Schröder, Maximilian - 2023

inference that feature varying level of trade-off between estimation precision and computational speed. Using monthly data for …

Persistent link: https://www.econbiz.de/10014314068

RGAP: output gap estimation in R

Streicher, Sina - 2022

Commission proposes a production function methodology that involves the estimation of two classes of Gaussian state space models … unobserved component models and offers frequentist as well as Bayesian estimation techniques. Additional functionalities include … preparation, model specification, and estimation processes using RGAP. …

Persistent link: https://www.econbiz.de/10013256541

Variable Selection, Estimation and Inference for Multi-Period Forecasting Problems

Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan - 2011

correlation in the residuals of the multi-period direct forecasting models we propose a new SURE-based estimation method and …

Persistent link: https://www.econbiz.de/10014042344

Real Wages and the Business Cycle in Germany

Marczak, Martyna - 2010

This paper establishes stylized facts about the cyclicality of real consumer wages and real producer wages in Germany. As detrending methods we apply the deterministic trend model, the Beveridge-Nelson decomposition, the Hodrick-Prescott filter, the Baxter-King filter and the structural time...

Persistent link: https://www.econbiz.de/10013137519