Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/283511 
Authors: 
Year of Publication: 
2024
Series/Report no.: 
KOF Working Papers No. 514
Publisher: 
ETH Zurich, KOF Swiss Economic Institute, Zurich
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.
Subjects: 
R
state space models
time series
simulation smoother
Gibbs sampling
business cycle
output gap
potential output
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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