Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/283511 
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Erscheinungsjahr: 
2024
Schriftenreihe/Nr.: 
KOF Working Papers No. 514
Verlag: 
ETH Zurich, KOF Swiss Economic Institute, Zurich
Zusammenfassung: 
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.
Schlagwörter: 
R
state space models
time series
simulation smoother
Gibbs sampling
business cycle
output gap
potential output
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