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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  • EP ID EP119155
  • DOI -
  • Views 147
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How To Cite

Nadji RAHMANIA (2011). Measuring equilibrium models: a multivariate approach. Revista Romana de Statistica, 59(3), 66-77. https://europub.co.uk/articles/-A-119155