Measuring equilibrium models: a multivariate approach
Journal Title: Revista Romana de Statistica - Year 2011, Vol 59, Issue 3
Abstract
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 parameters. The choice of these parameters is crucial. Our approach is based on consistent estimators of these parameters, depending only on the observed data.
Authors and Affiliations
Nadji RAHMANIA
Keywords
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