Measuring equilibrium models: a multivariate approach

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 param eters. The choice of these parameters is crucial. Our approach is based on consistent estimators of these parameters, depending only on the observed data.

Keywords

• detrending
• Hodrick-Prescott filter
• noiseto-signal ratio
• Nairu
• Potential output
• unobserved components models