sectorgap (Q5977642): Difference between revisions
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Revision as of 13:53, 4 March 2024
Consistent Economic Trend Cycle Decomposition
Language | Label | Description | Also known as |
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English | sectorgap |
Consistent Economic Trend Cycle Decomposition |
Statements
Determining potential output and the output gap - two inherently unobservable variables - is a major challenge for macroeconomists. 'sectorgap' features a flexible modeling and estimation framework for a multivariate Bayesian state space model identifying economic output fluctuations consistent with subsectors of the economy. The proposed model is able to capture various correlations between output and a set of aggregate as well as subsector indicators. Estimation of the latent states and parameters is achieved using a simple Gibbs sampling procedure and various plotting options facilitate the assessment of the results. For details on the methodology and an illustrative example, see Streicher (2024) <https://www.research-collection.ethz.ch/handle/20.500.11850/653682>.
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22 January 2024
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