Structural Time Series Models for Business Cycle Analysis
CEIS Research Paper
The chapter deals with parametric models for the measurement of the business cycle in economic time series. It presents univariate methods based on parametric trend–cycle decompositions and multivariate models featuring a Phillips type relationship between the output gap and inflation and the estimation of the gap using mixed frequency data. We finally address the issue of assessing the accuracy of the output gap estimates.
Keywords: State Space Models. Kalman Filter and Smoother. Bayesian Estimation.
Date: Thursday 10 July 2008
Revision Date: Thursday 10 July 2008