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Estimating the output gap after COVID : an application to Colombia
Granados, Camilo; Parra-Amado, Daniel - 2023
This study examines whether and how important it is to adjust output gap frameworks during the COVID-19 pandemic and similar unprecedentedly large-scale episodes. Our proposed modelling framework comprises a Bayesian Structural Vector Autoregresion with an identification setup based on a...
Persistent link: https://www.econbiz.de/10014232751
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Identification of prior information via moment-matching
Sacht, Stephen - 2014
estimation of a standard hybrid New-Keynesian model. In particular, we shed a light on the impact of micro- and macropriors on … the estimation outcome. First, we investigate the impact of the transformation of those model parameters which are bounded …-stage estimation procedure – the so-called Moment-Matching based Bayesian (MoMBay) estimation approach – where we take the point …
Persistent link: https://www.econbiz.de/10010234025
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Bayesian comparison of production function-based and time-series GDP models
Osiewalski, Jacek; Wróblewska, Justyna; Makieła, Kamil - In: Empirical economics : a journal of the Institute for … 58 (2020) 3, pp. 1355-1380
Persistent link: https://www.econbiz.de/10012219593
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An alternative estimate of Canadian potential output : the multivariate state-space framework
Pichette, Lise; Bernier, Maria; Robitaille, Marie-Noëlle - 2018
In this paper, we extend the state-space methodology proposed by Blagrave et al. (2015) and decompose Canadian potential output into trend labour productivity and trend labour input. As in Blagrave et al. (2015), we include output growth and inflation expectations from consensus forecasts to...
Persistent link: https://www.econbiz.de/10011942328
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How the baby boomers' retirement wave distorts model-based output gap estimates
Wolters, Maik H. - 2017
This paper illustrates the importance of consistency between the empirical measurement and the concept of variables in macroeconomic models. Since standard New Keynesian models do not account for demographic trends and sectoral shifts, I propose adjusting hours per capita used to estimate such...
Persistent link: https://www.econbiz.de/10011704809
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How the baby boomers' retirement wave distorts model-based output gap estimates
Wolters, Maik H. - 2018
The paper illustrates based on an example the importance of consistency between the empirical measurement and the concept of variables in estimated macroeconomic models. Since standard New Keynesian models do not account for demographic trends and sectoral shifts, the authors proposes adjusting...
Persistent link: https://www.econbiz.de/10011816344
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Searching for hysteresis
Benati, Luca; Lubik, Thomas A. - 2021
Taking as data-generation process a standard DSGE model, we show via Monte Carlo that reliably detecting hysteresis, defined as the presence of aggregate demand shocks with a permanent impact on output, is a significant challenge, as model-consistent identification schemes (i) spuriously detect...
Persistent link: https://www.econbiz.de/10012520175
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Estimating time-varying potential output and NAIRU using a multivariate filter for Turkey
Gökcü, Mert - 2021
Persistent link: https://www.econbiz.de/10013170985
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Christopher A. Sims and vector autoregressions
Christiano, Lawrence J. - In: The Scandinavian journal of economics 114 (2012) 4, pp. 1082-1104
Persistent link: https://www.econbiz.de/10009744352
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IMF Estimates of Potential Output : Theory and Practice
DeMasi, Paula - 2014
recommendations to member governments. This key role has stimulated research at the IMF to develop and refine estimation techniques …
Persistent link: https://www.econbiz.de/10012752359