MEASUREMENT ERROR IN MONETARY AGGREGATES: A MARKOV SWITCHING FACTOR APPROACH

DOI10.1017/S1365100509090166zbMath1184.91160OpenAlexW3021456898MaRDI QIDQ3647678

Marcelle Chauvet, Heather L. R. Tierney, William A. Barnett

Publication date: 23 November 2009

Published in: Macroeconomic Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s1365100509090166

zbMATH Keywords

aggregationmeasurement errorMarkov switchingmonetary policystate spacefactor modelsmonetary aggregationDivisia indexindex number theory

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Measurement theory in the social and behavioral sciences (91C05) Statistical methods; economic indices and measures (91B82)

Related Items (5)

Measurement errors in stock markets ⋮ The case for Divisia monetary statistics: a Bayesian time-varying approach ⋮ Nonlinear Relationship Between Permanent and Transitory Components of Monetary Aggregates and the Economy ⋮ How better monetary statistics could have signaled the financial crisis ⋮ Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components

Cites Work

• Multilateral aggregation-theoretic monetary aggregation over heterogeneous countries
• On user costs of risky monetary assets
• Economic monetary aggregates. An application of index number and aggregation theory
• Exact and superlative index numbers
• Dynamic linear models with Markov-switching
• Inflation and Welfare
• A test for independence based on the correlation dimension

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