Search found 3 matches
- Mon Jun 22, 2015 6:40 am
- Forum: Estimation
- Topic: Estimating potential gdp using Kalman Filter
- Replies: 4
- Views: 4846
- Mon Jun 22, 2015 6:32 am
- Forum: Estimation
- Topic: Estimating potential gdp using Kalman Filter
- Replies: 4
- Views: 4846
Re: Estimating potential gdp using Kalman Filter
Thank you for your answer startz.
I just want to estimate the potential output and output gap using a variety of methods (HP filter, Kalman filter, Production function approach). For those purposes, should I use the smoothed estimates from the Kalman?
I just want to estimate the potential output and output gap using a variety of methods (HP filter, Kalman filter, Production function approach). For those purposes, should I use the smoothed estimates from the Kalman?
- Mon Jun 22, 2015 5:42 am
- Forum: Estimation
- Topic: Estimating potential gdp using Kalman Filter
- Replies: 4
- Views: 4846
Estimating potential gdp using Kalman Filter
Hello everyone, I am trying to estimate potential output using the univariate Kalman filter. I am following the Clark (1987) model which assumes that gdp is composed of a trend component and a cyclical component. The trend is modelled as a random walk process with a drift, the drift is assumed to be...