Growth cycles and business cycles of the Chinese economy through the lens of the unobserved components model
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DOI: 10.1016/j.chieco.2019.101317
Abstract: Abstract We build upon the most recent development in the literature and estimate a comprehensive set of univariate and bivariate Unobserved Components models to study the varying long-run growth rate and output gap of the… read more here.
Keywords: chinese economy; growth rate; growth; unobserved components ... See more keywords
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
Predictability, real time estimation, and the formulation of unobserved components models
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DOI: 10.1080/07474938.2020.1793508
Abstract: Abstract The formulation of unobserved components models raises some relevant interpretative issues, owing to the existence of alternative observationally equivalent specifications, differing for the timing of the disturbances and their covariance matrix. We illustrate them… read more here.
Keywords: unobserved components; components models; formulation unobserved; real time ... See more keywords
Modeling COVID-19 Infection Rates by Regime-Switching Unobserved Components Models
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DOI: 10.3390/econometrics11020010
Abstract: The COVID-19 pandemic is characterized by a recurring sequence of peaks and troughs. This article proposes a regime-switching unobserved components (UC) approach to model the trend of COVID-19 infections as a function of this ebb… read more here.
Keywords: covid infection; modeling covid; regime switching; switching unobserved ... See more keywords