mvrnorm

Draws from the multivariate normal distribution.

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

mvrnorm function

<dl><dt>mu</dt>
<dd>A <code>n x 1</code> vector, the mean vector.</dd>
<dt>sigma</dt>
<dd>A <code>n x n</code> matrix, the covariance matrix.</dd></dl>

Arguments

Draws from the multivariate normal distribution. — mvrnorm

<dl>

<dt>mu</dt>
<dd>A <code>n x 1</code> vector, the mean vector.</dd>


<dt>sigma</dt>
<dd>A <code>n x n</code> matrix, the covariance matrix.</dd>

</dl>

mvrnorm: Draws from the multivariate normal distribution.

Description

Usage

Value

Arguments