Research Catalog

Title

Comparing Semi-Structural Methods to Estimate Unobserved Variables [electronic resource]: The HPMV and Kalman Filters Approaches / Laurence Boone

Author

Boone, Laurence.

Publication

Paris : OECD Publishing, 2000.

Details

Description

28 p.; 21 x 29.7cm.

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 ...

Series Statement

OECD Economics Department Working Papers, 1815-1973 ; no.240

Uniform Title

OECD Economics Department Working Papers, no.240.

Subject

Economics

LCCN

10.1787/112875725526

OCLC

oecd-lib

Author

Boone, Laurence.

Title

Comparing Semi-Structural Methods to Estimate Unobserved Variables [electronic resource]: The HPMV and Kalman Filters Approaches / Laurence Boone

Imprint

Paris : OECD Publishing, 2000.

Series

OECD Economics Department Working Papers, 1815-1973 ; no.240

OECD Economics Department Working Papers, 1815-1973 ; no.240.

Connect to:

Full text online available onsite at NYPL

Indexed Term

Economics

Other Standard Identifier

10.1787/112875725526 doi