Reconciling Output Gaps: Unobserved Components Model and Hodrick-Prescott Filter
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DOI: 10.1016/j.jedc.2016.12.004
Abstract: This paper reconciles two widely used trend–cycle decompositions of GDP that give markedly different estimates: the correlated unobserved components model yields output gaps that are small in amplitude, whereas the Hodrick–Prescott (HP) filter generates large… read more here.
Keywords: hodrick prescott; components model; prescott filter; unobserved components ... See more keywords