add_cycle

Add a cycle to a state space model

internal

Determining potential output and the output gap - two inherently unobservable variables - is a major challenge for macroeconomists. 'sectorgap' 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. For details on the methodology and an illustrative example, see Streicher (2024) <https://www.research-collection.ethz.ch/handle/20.500.11850/653682>.

Sina Streicher

sectorgap

Consistent Economic Trend Cycle Decomposition

add_cycle function

<dl><dt>sys</dt>
<dd>list with system matrices</dd>
<dt>p</dt>
<dd>integer with autoregressive order, <code>p &lt;= 2</code></dd>
<dt>name</dt>
<dd>name ob observation equation</dd>
<dt>lags</dt>
<dd>(optional) number of lags added to state equation, e.g. since
other equations load on them</dd></dl>

Arguments

Add a cycle to a state space model — add_cycle

<dl>

<dt>sys</dt>
<dd>list with system matrices</dd>


<dt>p</dt>
<dd>integer with autoregressive order, <code>p &lt;= 2</code></dd>


<dt>name</dt>
<dd>name ob observation equation</dd>


<dt>lags</dt>
<dd>(optional) number of lags added to state equation, e.g. since
other equations load on them</dd>

</dl>

add_cycle: Add a cycle to a state space model

Description

Usage

Value

Arguments