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Reliable real-time output gap estimates based on a modified Hamilton filter

Quast, Josefine; Wolters, Maik H. - 2020

We propose a simple modification of Hamilton’s (2018) time series filter that yields reliable and economically meaningful real-time output gap estimates. The original filter relies on 8 quarter ahead forecast errors of a simple autoregression of real GDP. While this approach yields a cyclical...

Persistent link: https://www.econbiz.de/10012233667

Reliable real-time output gap estimates based on a modified Hamilton filter

Quast, Josefine; Wolters, Maik H. - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 152-168

Persistent link: https://www.econbiz.de/10012804095

Forecasting India's economic growth : a time-varying parameter regression approach

Bhattacharya, Rudrani; Chakravartti, Parma; Mundle, Sudipto - 2018

Persistent link: https://www.econbiz.de/10011939512

Radici, unitarie e persistenza : l'analisi univariata delle fluttuazioni economiche

Pistoresi, Barbara - In: Rivista di politica economica 87 (1997) 2, pp. 111-152

Persistent link: https://www.econbiz.de/10001222481

Predictive density aggregation : a model for global GDP growth

Caselli, Francesca; Grigoli, Francesco; Lafarguette, Romain - 2020

the United States, the euro area, and China via a conditional kernel density estimation of a joint distribution. Then, we …

Persistent link: https://www.econbiz.de/10012251413

Estimation and Testing for Varying Coefficients in Additive Models with Marginal Integration

Yang, Lijian - 2017

regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate …

Persistent link: https://www.econbiz.de/10012966219