On applications of state-space modelling in macroeconomics

Olivier Basdevant
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Olivier Basdevant: Reserve Bank of New Zealand, http://www.rbnz.govt.nz

No DP2003/02, Reserve Bank of New Zealand Discussion Paper Series from Reserve Bank of New Zealand

Abstract: This paper reviews the literature on applications of state- space modelling to macroeconomic questions, with four examples related to modelling unobserved trends, transition across different steady states, expectations formation and forecasting/data revision issues. Due to the flexibility of the state-space approach, it is both a useful tool for research purposes and highly useful in addressing practical issues. In many cases, state-space modelling offers the possibility of building encompassing models, and formulating rather complicated problems in a simple manner.

JEL-codes: C30 C50 E17 (search for similar items in EconPapers)
Pages: 51p
Date: 2003-04
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-hpe and nep-mac
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:nzb:nzbdps:2003/02

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