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Streicher, Sina - 2022

Assessing potential output and the output gap is essential for policy-making and fiscal surveillance. The European Commission proposes a production function methodology that involves the estimation of two classes of Gaussian state space models. This paper presents the R package RGAP which...

Persistent link: https://www.econbiz.de/10013256541

The multivariate simultaneous unobserved components model and identification via heteroskedasticity

Li, Mengheng; Mendieta-Muñoz, Ivan - 2019

We propose a multivariate simultaneous unobserved components framework to determine the two-sided interactions between structural trend and cycle innovations. We relax the standard assumption in unobserved components models that trends are only driven by permanent shocks and cycles are only...

Persistent link: https://www.econbiz.de/10012010854

Bayesian analysis of structural correlated unobserved components and identification via heteroskedasticity

Li, Mengheng; Mendieta-Muñoz, Ivan - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 337-359

Persistent link: https://www.econbiz.de/10013334751

Dynamic hysteresis effects

Li, Mengheng; Mendieta-Muñoz, Ivan - 2024

We study how the output gap affects potential output over time-i.e., the dynamic hysteresis effect. To do so, we introduce novel unobserved components (UC) models that consider hysteresis as a sequence of lagged effects, thus separating the long-run recession-induced adverse effects from other...

Persistent link: https://www.econbiz.de/10014483593

Sectorgap: an R package for consistent economic trend cycle decomposition

Streicher, Sina - 2024

Determining potential output and the output gap-two inherently unobservable variables-is a major challenge for macroeconomists. This paper presents the R package sectorgap, which features a flexible modeling and estimation framework for a multivariate Bayesian state space model identifying...

Persistent link: https://www.econbiz.de/10014457595

Recovering stars in macroeconomics

Buncic, Daniel; Pagan, Adrian R.; Robinson, Tim - 2023

Persistent link: https://www.econbiz.de/10014432242

Dynamic hysteresis effects

Li, Mengheng; Mendieta-Muñoz, Ivan - In: Journal of economic dynamics & control 163 (2024), pp. 1-17

Persistent link: https://www.econbiz.de/10015050835

The NAIRU and informality in the Mexican labor market

Aguilar-Argaez, Ana María; Alcaraz, Carlo; Ramírez, … - 2020

The non-accelerating inflation rate of unemployment (NAIRU) is not directly observable and the presence of informal … formal job. In this paper, we present an estimation of the traditional NAIRU for Mexico and an alternative measure that … includes informality as an indicator of labor underutilization. We find that both measures of NAIRU and the associated labor …

Persistent link: https://www.econbiz.de/10012616402

Euroland: new conditions for economic policy

Döpke, Jörg; Gern, Klaus-Jürgen; Gottschalk, Jan; … - 1998

Persistent link: https://www.econbiz.de/10000672624

Vicious and virtuous circles : the political economy of unemployment in interwar UK and USA

Matthews, Kent; Minford, Patrick; Naraidoo, Ruthira - 2008

Persistent link: https://www.econbiz.de/10003728838

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