Nadji Rahmania
Laboratoire de Probabilites et Statistique, USTL France
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 parameters. The choice of these parameters is crucial. Our approach is based on consistent estimators of these parameters, depending only on the observed data.
Romanian Statistical Review nr. 3 / 2011 – édition spéciale en français
