Measuring equilibrium models: a multivariate approach

Nadji Rahmania
Laboratoire de Probabilites et Statistique, USTL France


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.

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Romanian Statistical Review nr. 3 / 2011 – édition spéciale en français