.SSSystem

Prepares state space model system matrices to create an object of type <code>NAWRUmodel</code>
or <code>TFPmodel</code>.

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

.SSSystem function

<dl><dt>tsl</dt>
<dd>A list of input time series computed during the procedure <code>NAWRUmodel</code>
or <code>TFPmodel</code>.</dd>
<dt>cycle</dt>
<dd>A character string specifying the cycle model. <code>cycle = "AR1"</code> denotes
an AR(1) process, <code>cycle = "AR2"</code> an <code>AR(2)</code> process. The default is
<code>cycle = "AR2"</code>.</dd>
<dt>trend</dt>
<dd>A character string specifying the trend model. <code>trend = "RW1"</code> denotes
a first order random walk, <code>trend = "RW2"</code> a second order random walk (local linear
trend) and <code>trend = "DT"</code> a damped trend model. The default is <code>trend = "RW2"</code>.</dd>
<dt>cycleLag</dt>
<dd>A vector specifying the cycle lags that are included in the Phillip's
curve. The default is <code>cycleLag = 0</code>, see details.</dd>
<dt>type</dt>
<dd>A character string specifying the type of the Phillip's curve.
<code>type = "TKP"</code> denotes the traditional Keynesian Phillip's curve and
<code>type = "NKP"</code> the New Keynesian Phillip's curve, see details. The default is
<code>type = "TKP"</code>.</dd>
<dt>errorARMA</dt>
<dd>A vector with non-negative integers specifying the AR and MA degree of
the error term in the second observation equation.</dd></dl>

Arguments

Prepares state space model system matrices to create an object of type NAWRUmodel
or TFPmodel. — .SSSystem

<dl>

<dt>tsl</dt>
<dd>A list of input time series computed during the procedure <code>NAWRUmodel</code>
or <code>TFPmodel</code>.</dd>


<dt>cycle</dt>
<dd>A character string specifying the cycle model. <code>cycle = "AR1"</code> denotes
an AR(1) process, <code>cycle = "AR2"</code> an <code>AR(2)</code> process. The default is
<code>cycle = "AR2"</code>.</dd>


<dt>trend</dt>
<dd>A character string specifying the trend model. <code>trend = "RW1"</code> denotes
a first order random walk, <code>trend = "RW2"</code> a second order random walk (local linear
trend) and <code>trend = "DT"</code> a damped trend model. The default is <code>trend = "RW2"</code>.</dd>


<dt>cycleLag</dt>
<dd>A vector specifying the cycle lags that are included in the Phillip's
curve. The default is <code>cycleLag = 0</code>, see details.</dd>


<dt>type</dt>
<dd>A character string specifying the type of the Phillip's curve.
<code>type = "TKP"</code> denotes the traditional Keynesian Phillip's curve and
<code>type = "NKP"</code> the New Keynesian Phillip's curve, see details. The default is
<code>type = "TKP"</code>.</dd>


<dt>errorARMA</dt>
<dd>A vector with non-negative integers specifying the AR and MA degree of
the error term in the second observation equation.</dd>

</dl>

.SSSystem: Prepares state space model system matrices to create an object of type `NAWRUmodel` or `TFPmodel`.

Description

Usage

Arguments