Reconciling output gaps: unobserved components model and Hodrick-Prescott filter

DOI10.1016/j.jedc.2016.12.004zbMath1401.91372OpenAlexW3122239689MaRDI QIDQ1655554

Joshua C. C. Chan, Angelia L. Grant

Publication date: 9 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2016.12.004

zbMATH Keywords

structural breaktrend-cycle decompositionHP filter

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Related Items (4)

Precision-based sampling for state space models that have no measurement error ⋮ Duration structure of unemployment hazards and the trend unemployment rate ⋮ Forecasting emergency department waiting time using a state space representation ⋮ High-dimensional conditionally Gaussian state space models with missing data

Cites Work

• Trends and cycles in economic time series: a Bayesian approach
• Kernel density estimation via diffusion
• Low frequency filtering and real business cycles
• Testing for time variation in an unobserved components model for the U.S. economy
• Marginal Likelihood Estimation with the Cross-Entropy Method

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