Fresh perspectives on unobservable variables: Data decomposition of the Kalman smoother

Nicholas Sander
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Nicholas Sander: Reserve Bank of New Zealand, http://www.rbnz.govt.nz

No AN2013/09, Reserve Bank of New Zealand Analytical Notes series from Reserve Bank of New Zealand

Abstract: Macroeconomics makes extensive use of concepts for which there are no observed data. Empirical estimates of such unobservable variables - core inflation is one example - have to be estimated from observed data. The data decomposition tool helps identify the contribution of each piece of observed data to the estimate of the unobservable variable.

Pages: 34 p.
Date: 2013-12
New Economics Papers: this item is included in nep-ecm and nep-ger
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