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Measuring equilibrium models: a multivariate approach.
- Source :
- Romanian Statistical Review; 2011, Issue 3, p66-77, 12p, 4 Charts, 4 Graphs
- Publication Year :
- 2011
-
Abstract
- This paper presents a multivariate methodology for obtaining measures of unobserved macroeconomic variables. The used procedure is the multivariate Hodrick-Prescot which depends on smoothing parameters. The choice of these parameters is crucial. Our approach is based on consistent estimators of these parameters, depending only on the observed data. [ABSTRACT FROM AUTHOR]
Details
- Language :
- French
- ISSN :
- 1018046X
- Issue :
- 3
- Database :
- Supplemental Index
- Journal :
- Romanian Statistical Review
- Publication Type :
- Academic Journal
- Accession number :
- 62293482