Title :

Measuring equilibrium models: a multivariate approach

Author(s) :

Rahmania, Nadji [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]

Journal title :

Revue Roumaine de Statistique

Publication date :

2011

English keyword(s) :

E31 E32 C22 C32 detrending Hodrick-Prescott filter noiseto-signal ratio Nairu Potential output unobserved components models
E31
E32
C22
C32 detrending
Hodrick-Prescott filter
noiseto-signal ratio
Nairu
Potential output
unobserved components models

HAL domain(s) :

Mathématiques [math]

English abstract : [en]

This paper presents a multivariate methodology for obtaining measures of unobserved macroeconomic variables. The used procedure is the multivariate Hodrick-Prescot which depends on smoothing param eters. The choice of these ...
Show more >This paper presents a multivariate methodology for obtaining measures of unobserved macroeconomic variables. The used procedure is the multivariate Hodrick-Prescot which depends on smoothing param eters. The choice of these parameters is crucial. Our approach is based on consistent estimators of these parameters, depending only on the observed data.Show less >

Language :

Anglais

Popular science :

Non

Collections :

• Laboratoire Paul Painlevé - UMR 8524

Source :

Harvested from HAL