Measuring equilibrium models: a multivariate approach
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 the...
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| Format: | Article |
| Language: | English |
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Romanian National Institute of Statistics
2011-04-01
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| Series: | Revista Română de Statistică |
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| Online Access: | http://www.revistadestatistica.ro/Articole/2011/Art%206_en_rrs%203_2011.pdf |
| Summary: | 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. |
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| ISSN: | 1018-046X 1844-7694 |