Structural Time Series Models for Business Cycle Analysis

Tommaso Proietti

Chapter 9 in Palgrave Handbook of Econometrics, 2009, pp 385-433 from Palgrave Macmillan

Abstract: Abstract The chapter deals with parametric models for the measurement of the business cycle in economic time series. It presents univariate methods based on parametric trend-cycle decompositions and multivariate models featuring a Phillips-type relationship between the output gap and inflation and the estimation of the gap using mixed frequency data. We finally address the issue of assessing the accuracy of the output gap estimates.

Keywords: Monetary Policy; Business Cycle; Cyclical Component; Inverse Gamma; Economic Time Series (search for similar items in EconPapers)
Date: 2009
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Working Paper: Structural Time Series Models for Business Cycle Analysis (2008)
Working Paper: Structural Time Series Models for Business Cycle Analysis (2008)
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DOI: 10.1057/9780230244405_9

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