.MLEfitTFP

Estimates a two-dimensional state-space model and performs filtering and smoothing
to obtain the tfp trend.

internal

The output gap indicates the percentage difference between the actual output of an economy and its potential. Since potential output is a latent process, the estimation of the output gap poses a challenge and numerous filtering techniques have been proposed. 'RGAP' facilitates the estimation of a Cobb-Douglas production function type output gap, as suggested by the European Commission (Havik et al. 2014) <https://ideas.repec.org/p/euf/ecopap/0535.html>. To that end, the non-accelerating wage rate of unemployment (NAWRU) and the trend of total factor productivity (TFP) can be estimated in two bivariate unobserved component models by means of Kalman filtering and smoothing. 'RGAP' features a flexible modeling framework for the appropriate state-space models and offers frequentist as well as Bayesian estimation techniques. Additional functionalities include direct access to the 'AMECO' <https://economy-finance.ec.europa.eu/economic-research-and-databases/economic-databases/ameco-database_en> database and automated model selection procedures. See the paper by Streicher (2022) <http://hdl.handle.net/20.500.11850/552089> for details.

Sina Streicher

RGAP

Production Function Output Gap Estimation

.MLEfitTFP function

<dl><dt>model</dt>
<dd>An object of class TFPmodel.</dd>
<dt>parRestr</dt>
<dd>A list of matrices containing the parameter restrictions for the cycle,
trend, and the CUBS equation. Each matrix contains the lower and upper bound of the
involved parameters. <code>NA</code> implies that no restriction is present. Autoregressive
parameters are automatically restricted to the stationary region unless box constraints
are specified. By default, <code>parRestr</code> is initialized by the function
<code>initializeRestr(model)</code>. Only used if <code>method = "MLE"</code>.</dd>
<dt>signalToNoise</dt>
<dd>(Optional) signal to noise ratio. Only used if <code>method = "MLE"</code>.</dd>
<dt>control</dt>
<dd>(Optional) A list of control arguments to be passed on to <code>optim</code>.</dd></dl>

Arguments

Estimates a two-dimensional state-space model and performs filtering and smoothing
to obtain the tfp trend. — .MLEfitTFP

<dl>

<dt>model</dt>
<dd>An object of class TFPmodel.</dd>


<dt>parRestr</dt>
<dd>A list of matrices containing the parameter restrictions for the cycle,
trend, and the CUBS equation. Each matrix contains the lower and upper bound of the
involved parameters. <code>NA</code> implies that no restriction is present. Autoregressive
parameters are automatically restricted to the stationary region unless box constraints
are specified. By default, <code>parRestr</code> is initialized by the function
<code>initializeRestr(model)</code>. Only used if <code>method = "MLE"</code>.</dd>


<dt>signalToNoise</dt>
<dd>(Optional) signal to noise ratio. Only used if <code>method = "MLE"</code>.</dd>


<dt>control</dt>
<dd>(Optional) A list of control arguments to be passed on to <code>optim</code>.</dd>

</dl>

.MLEfitTFP: Estimates a two-dimensional state-space model and performs filtering and smoothing to obtain the tfp trend.

Description

Usage

Arguments