Titre :

Measuring equilibrium models: a multivariate approach

Auteur(s) :

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

Titre de la revue :

Revue Roumaine de Statistique

Date de publication :

2011

Mot(s)-clé(s) en anglais :

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

Discipline(s) HAL :

Mathématiques [math]

Résumé en anglais : [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 ...
Lire la suite >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.Lire moins >

Langue :

Anglais

Vulgarisation :

Non

Collections :

• Laboratoire Paul Painlevé - UMR 8524

Source :

Harvested from HAL