draw_output_gap

This is a wrapper function that draws the parameters of the output gap for
different cycle specifications

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

draw_output_gap function

<dl><dt>Y</dt>
<dd>dependent variable</dd>
<dt>phi</dt>
<dd>autoregressive coefficient vector</dd>
<dt>phiDistr</dt>
<dd>prior distribution of autoregressive coefficient vector</dd>
<dt>sigma</dt>
<dd>innovation variance</dd>
<dt>sigmaDistr</dt>
<dd>prior distribution of innovation variance</dd></dl>

Arguments

Draws the parameters of the output gap.. — draw_output_gap

<dl>

<dt>Y</dt>
<dd>dependent variable</dd>


<dt>phi</dt>
<dd>autoregressive coefficient vector</dd>


<dt>phiDistr</dt>
<dd>prior distribution of autoregressive coefficient vector</dd>


<dt>sigma</dt>
<dd>innovation variance</dd>


<dt>sigmaDistr</dt>
<dd>prior distribution of innovation variance</dd>

</dl>

draw_output_gap: Draws the parameters of the output gap..

Description

Usage

Value

Arguments