Measuring the Euro Area Output Gap using Multivariate Unobserved Components Model Containing Phase Shifts.
(2011)
Journal Article
Chen, X., & Mills, T. (2012). Measuring the Euro Area Output Gap using Multivariate Unobserved Components Model Containing Phase Shifts. Empirical Economics, 43(2), 671-692. https://doi.org/10.1007/s00181-011-0495-7
Several recent studies have used multivariate unobserved components models to identify the output gap and the non-accelerating inflation rate of unemployment. A key assumption of these models is that one common cycle component, such as the output gap... Read More about Measuring the Euro Area Output Gap using Multivariate Unobserved Components Model Containing Phase Shifts..