Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/68639
Authors: 
Hahn, Franz
Rünstler, Gerhard
Year of Publication: 
1996
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 33
Abstract: 
We propose a bivariate structural time series framework to decompose GDP and the unemployment rate into their trend, cyclical, and irregular components. We implement Okun's law by a generalised version of the common cycles restriction allowing for a phase shift between the two cycles and add a price-wage block to the system. We estimate by maximum likelihood Phillips curve-type equations, where the particular cycles enter the wage and price equations in levels though the trends are modelled as non-stationary stochastic processes. The extended models provide an improved estimate of the current cyclical position, compared to univariate estimates and the HP filter.
Subjects: 
structural time series model
trends and cycles
Phillips Curve
JEL: 
C22
E30
Document Type: 
Working Paper

Files in This Item:
File
Size
300.57 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.