Munich Personal RePEc Archive

Structural Time Series Models for Business Cycle Analysis

Proietti, Tommaso (2008): Structural Time Series Models for Business Cycle Analysis.

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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 decom- positions 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.

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