sectorgap: An R Package for Consistent Economic Trend Cycle Decomposition
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Author / Producer
Date
2024-01
Publication Type
Working Paper
ETH Bibliography
yes
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Abstract
Determining potential output and the output gap—two inherently unobservable variables—is a major challenge for macroeconomists. This paper presents the R package
sectorgap, which features a flexible modeling and estimation framework for a multivariate
Bayesian state space model identifying economic output fluctuations consistent with
subsectors of the economy. The proposed model is able to capture various correlations
between output and a set of aggregate as well as subsector indicators. Estimation of the
latent states and parameters is achieved using a simple Gibbs sampling procedure and
various plotting options facilitate the assessment of the results. An illustrative example
with Swiss data outline data preparation, model definition, estimation, and evaluation
using sectorgap.
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Publication status
published
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Book title
Journal / series
Volume
514
Pages / Article No.
Publisher
KOF Swiss Economic Institute, ETH Zurich
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
R; state space models; time series; simulation smoother; Gibbs sampling; business cycle; Output gap; potential output
Organisational unit
02525 - KOF Konjunkturforschungsstelle / KOF Swiss Economic Institute
06330 - KOF FB Konjunktur / KOF Macroeconomic forecasting