.SSresultsBayesian

Computes additional results of the Kalman filter and smoother for Bayesian output.

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

.SSresultsBayesian function

<dl><dt>model</dt>
<dd>The return object of the function <code>fitSSM</code> from the package <code>KFAS</code>.</dd>
<dt>HPDIprob</dt>
<dd>A numeric in the interval <code>(0,1)</code> specifying the target probability
of the highest posterior density intervals. The default is <code>HPDIprob = 0.9</code>. Only
used if <code>method = "bayesian"</code>.</dd>
<dt>state</dt>
<dd>An array with the smoothed state.</dd>
<dt>obsFitted</dt>
<dd>An array with the fitted observables.</dd></dl>

Arguments

Computes additional results of the Kalman filter and smoother for Bayesian output. — .SSresultsBayesian

<dl>

<dt>model</dt>
<dd>The return object of the function <code>fitSSM</code> from the package <code>KFAS</code>.</dd>


<dt>HPDIprob</dt>
<dd>A numeric in the interval <code>(0,1)</code> specifying the target probability
of the highest posterior density intervals. The default is <code>HPDIprob = 0.9</code>. Only
used if <code>method = "bayesian"</code>.</dd>


<dt>state</dt>
<dd>An array with the smoothed state.</dd>


<dt>obsFitted</dt>
<dd>An array with the fitted observables.</dd>

</dl>

.SSresultsBayesian: Computes additional results of the Kalman filter and smoother for Bayesian output.

Description

Usage

Arguments