文章基本信息

标题：Comparing Semi-Structural Methods to Estimate Unobserved Variables
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作者：Laurence Boone
期刊名称：Economics Department Working Papers / OECD
印刷版ISSN：0259-4633
出版年度：2000
卷号：2000
DOI：10.1787/112875725526
出版社：Organisation for Economic Co-operation and Development (OECD)
摘要：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 ...
关键词：standard errors; Kalman filter; NAIRU; unobserved component models