Structural Time Series Models for Business Cycle Analysis

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. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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