MEASUREMENT ERROR IN MONETARY AGGREGATES: A MARKOV SWITCHING FACTOR APPROACH

DOI10.1017/S1365100509090166zbMath1184.91160MaRDI 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

aggregation; measurement error; Markov switching; monetary policy; state space; factor models; monetary aggregation; Divisia index; index number theory

Mathematics Subject Classification ID

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

91C05: Measurement theory in the social and behavioral sciences

91B82: Statistical methods; economic indices and measures

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Cites Work

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• Dynamic linear models with Markov-switching
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• A test for independence based on the correlation dimension