Computing the moments of the filtered variables in a state-space system

Jurgen Ehlgen

Applied Economics Letters, 1998, vol. 5, issue 12, 759-760

Abstract: The business cycle implications of 'real business cycle' models are typically summarized by reporting the moments of the filtered model variables. In this letter a procedure to compute the exact moments of the filtered variables is described.

Date: 1998
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DOI: 10.1080/135048598353961

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