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Are linear models really unuseful to describe business cycle data?

Lopes, Artur C. B. da Silva; Zsurkis, Gabriel Florin - 2017

need to use nonlinear models to describe business cycle dynamic behaviour. Their approach is model (estimation)-free, based …

Persistent link: https://www.econbiz.de/10011596878

What predicts U.S. recessions?

Liu, Weiling; Mönch, Emanuel - 2014

We reassess the predictability of U.S. recessions at horizons from three months to two years ahead for a large number of previously proposed leading-indicator variables. We employ an efficient probit estimator for partially missing data and assess relative model performance based on the receiver...

Persistent link: https://www.econbiz.de/10010404520

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

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

Regularized estimation of structural instability in factor models : the US macroeconomy and the great moderation

Callot, Laurent; Kristensen, Johannes Tang - 2015

estimation of static factor models and factor augmented autoregressions using a set of 190 quarterly observations of 144 US …

Persistent link: https://www.econbiz.de/10010532582

News shocks : different effects in boom and recession?

Bolboaca, Maria; Fischer, Sarah - 2019 - This version: February, 2019

This paper investigates the nonlinearity in the effects of news shocks about technological innovations. In a maximally flexible logistic smooth transition vector autoregressive model, state-dependent effects of news shocks are identified based on medium-run restrictions. We propose a novel...

Persistent link: https://www.econbiz.de/10011967392

Multiple filtering devices for the estimation of cyclical DSGE model

Canova, Fabio; Ferroni, Filippo - In: Quantitative economics : QE ; journal of the … 2 (2011) 1, pp. 73-98

We propose a method to estimate time invariant cyclical dynamic stochastic general equilibrium models using the information provided by a variety of filters. We treat data filtered with alternative procedures as contaminated proxies of the relevant model-based quantities and estimate structural...

Persistent link: https://www.econbiz.de/10011755937

Reconsidering Hodrick-Prescott Detrending and Its Smoothing Parameter : Extended Version

Franke, Reiner; Kukacka, Jiri; Sacht, Stephen - 2022

The paper reconsiders the Hodrick-Prescott filter and the issue of a suitable choice of its smoothing parameter λ for quarterly data. To this end stochastic processes generate artificial data with a known growth trend and cyclical component, and a battery of Monte Carlo experiments tests what...

Persistent link: https://www.econbiz.de/10014081635

From Many Series, One Cycle : Improved Estimates of the Business Cycle from a Multivariate Unobserved Components Model

Fleischman, Charles A. - 2011

We construct new estimates of potential output and the output gap using a multivariate approach that allows for an explicit role for measurement errors in the decomposition of real output. Because we include data on hours, output, employment, and the labor force, we are able to decompose our...

Persistent link: https://www.econbiz.de/10013118624

Statistical Identification in Svars - Monte Carlo Experiments and a Comparative Assessment of the Role of Economic Uncertainties for the US Business Cycle

Herwartz, Helmut - 2019

sign restrictions results in estimation biases as a reflection of censored sampling from a space of covariance …

Persistent link: https://www.econbiz.de/10012866833