aggregate_gap

Computes chain aggregated output gap contributions.

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

aggregate_gap function

<dl><dt>tsl_p</dt>
<dd>time series list with prices</dd>
<dt>tsl_t</dt>
<dd>time series list with trends</dd>
<dt>tsl_g</dt>
<dd>time series list with gaps</dd>
<dt>idx</dt>
<dd>index of aggregate</dd>
<dt>error_name</dt>
<dd>character string with name for aggregation error</dd>
<dt>idx_neg</dt>
<dd>index of negative sub sectors</dd>
<dt>previous_year</dt>
<dd>boolean indicating if previous year prices should be
used instead of pervious period prices</dd></dl>

Arguments

Output gap contributions — aggregate_gap

<dl>

<dt>tsl_p</dt>
<dd>time series list with prices</dd>


<dt>tsl_t</dt>
<dd>time series list with trends</dd>


<dt>tsl_g</dt>
<dd>time series list with gaps</dd>


<dt>idx</dt>
<dd>index of aggregate</dd>


<dt>error_name</dt>
<dd>character string with name for aggregation error</dd>


<dt>idx_neg</dt>
<dd>index of negative sub sectors</dd>


<dt>previous_year</dt>
<dd>boolean indicating if previous year prices should be
used instead of pervious period prices</dd>

</dl>

aggregate_gap: Output gap contributions

Description

Usage

Value

Arguments