Do the Hamilton and Beveridge-Nelson filters provide the same information about output gaps? : an empirical comparison for practitioners
Year of publication: |
2023
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Authors: | Biolsi, Christopher |
Published in: |
Journal of macroeconomics. - Amsterdam [u.a.] : Elsevier, ISSN 0164-0704, ZDB-ID 796245-9. - Vol. 75.2023, p. 1-31
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Subject: | Hamilton filter | Beveridge-Nelson filter | Out-of-sample forecasts | Output gap | Zeitreihenanalyse | Time series analysis | Bruttoinlandsprodukt | Gross domestic product | Prognoseverfahren | Forecasting model | Schätzung | Estimation | Produktionspotenzial | Potential output | Konjunktur | Business cycle | Zustandsraummodell | State space model |
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