Comparing Semi-Structural Methods to Estimate Unobserved Variables: The HPMV and Kalman Filters Approaches
Economists often seek to estimate unobserved variables, representing "equilibrium" or "expected" values of economic variables, as benchmarks against which observed, realised values of these variables may be evaluated. Such comparisons are often used as economic policy indicators,...
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| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Paris
OECD Publishing
2000
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| Series: | OECD Economics Department Working Papers
no.240 |
| Subjects: | |
| Online Access: | DE-862 DE-863 |
| Summary: | Economists often seek to estimate unobserved variables, representing "equilibrium" or "expected" values of economic variables, as benchmarks against which observed, realised values of these variables may be evaluated. Such comparisons are often used as economic policy indicators, for example the output gap, as measured by the ratio of actual to potential GDP, is commonly used as a measure of excess demand in assessing inflation pressures. To estimate these unobserved variables, a popular approach is the so-called semi-structural approach which includes: the Hodrick Prescott multivariate filter (developed by Laxton and Tetlow, 1992) and the Kalman filter (see, among others Harvey, 1992 and Cuthberson et al., 1992). This paper shows that the two approaches are closely linked, and specifically, it explains how to reproduce theHodrick Prescott multivariate filter using the Kalman filter. Being able to do so has at least two possible advantages. First, while the traditional HPMV filter ... |
| Physical Description: | 1 Online-Ressource (27 Seiten) 21 x 29.7cm. |
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| spelling | Boone, Laurence VerfasserIn aut Comparing Semi-Structural Methods to Estimate Unobserved Variables The HPMV and Kalman Filters Approaches Laurence, Boone Paris OECD Publishing 2000 1 Online-Ressource (27 Seiten) 21 x 29.7cm. Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier OECD Economics Department Working Papers no.240 Economists often seek to estimate unobserved variables, representing "equilibrium" or "expected" values of economic variables, as benchmarks against which observed, realised values of these variables may be evaluated. Such comparisons are often used as economic policy indicators, for example the output gap, as measured by the ratio of actual to potential GDP, is commonly used as a measure of excess demand in assessing inflation pressures. To estimate these unobserved variables, a popular approach is the so-called semi-structural approach which includes: the Hodrick Prescott multivariate filter (developed by Laxton and Tetlow, 1992) and the Kalman filter (see, among others Harvey, 1992 and Cuthberson et al., 1992). This paper shows that the two approaches are closely linked, and specifically, it explains how to reproduce theHodrick Prescott multivariate filter using the Kalman filter. Being able to do so has at least two possible advantages. First, while the traditional HPMV filter ... Economics |
| spellingShingle | Boone, Laurence Comparing Semi-Structural Methods to Estimate Unobserved Variables The HPMV and Kalman Filters Approaches Economics |
| title | Comparing Semi-Structural Methods to Estimate Unobserved Variables The HPMV and Kalman Filters Approaches |
| title_auth | Comparing Semi-Structural Methods to Estimate Unobserved Variables The HPMV and Kalman Filters Approaches |
| title_exact_search | Comparing Semi-Structural Methods to Estimate Unobserved Variables The HPMV and Kalman Filters Approaches |
| title_full | Comparing Semi-Structural Methods to Estimate Unobserved Variables The HPMV and Kalman Filters Approaches Laurence, Boone |
| title_fullStr | Comparing Semi-Structural Methods to Estimate Unobserved Variables The HPMV and Kalman Filters Approaches Laurence, Boone |
| title_full_unstemmed | Comparing Semi-Structural Methods to Estimate Unobserved Variables The HPMV and Kalman Filters Approaches Laurence, Boone |
| title_short | Comparing Semi-Structural Methods to Estimate Unobserved Variables |
| title_sort | comparing semi structural methods to estimate unobserved variables the hpmv and kalman filters approaches |
| title_sub | The HPMV and Kalman Filters Approaches |
| topic | Economics |
| topic_facet | Economics |
| work_keys_str_mv | AT boonelaurence comparingsemistructuralmethodstoestimateunobservedvariablesthehpmvandkalmanfiltersapproaches |