A Closed Form Multivariate Linear Filter

Author/Editor:

Francis Vitek

Publication Date:

December 10, 2018

Electronic Access:

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Summary:

This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and trend components. We derive a closed form solution to an ordinary problem featuring homogeneous penalty term difference orders and static restrictions, as well as to a generalized problem featuring heterogeneous penalty term difference orders and dynamic restrictions. We use our Generalized Multivariate Linear Filter to jointly estimate potential output, the natural rate of unemployment and the natural rate of interest, conditional on selected equilibrium conditions from a calibrated New Keynesian model.

Series:

Working Paper No. 18/275

Subject:

English

Publication Date:

December 10, 2018

ISBN/ISSN:

9781484388785/1018-5941

Stock No:

WPIEA2018275

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

24

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