TY - BOOK ID - 85504000 TI - A Closed Form Multivariate Linear Filter PY - 2018 SN - 1484391004 1484390962 PB - Washington, D.C. : International Monetary Fund, DB - UniCat KW - Time-series analysis. KW - Analysis of time series KW - Autocorrelation (Statistics) KW - Harmonic analysis KW - Mathematical statistics KW - Probabilities KW - Banks and Banking KW - Labor KW - Economic Theory KW - Production and Operations Management KW - Time-Series Models KW - Dynamic Quantile Regressions KW - Dynamic Treatment Effect Models KW - Diffusion Processes KW - State Space Models KW - Business Fluctuations KW - Cycles KW - Monetary Policy KW - Unemployment: Models, Duration, Incidence, and Job Search KW - Macroeconomics: Production KW - Interest Rates: Determination, Term Structure, and Effects KW - Neoclassical through 1925 (Austrian, Marshallian, Walrasian, Wicksellian) KW - Labour KW - income economics KW - Macroeconomics KW - Banking KW - Economic theory & philosophy KW - Unemployment rate KW - Potential output KW - Output gap KW - Central bank policy rate KW - Neoclassical theory KW - Production KW - Financial services KW - Economic theory KW - Unemployment KW - Interest rates KW - Neoclassical school of economics KW - United States KW - Income economics UR - https://www.unicat.be/uniCat?func=search&query=sysid:85504000 AB - This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and trend components. We derive a closed form solution to an ordinary problem featuring homogeneous penalty term difference orders and static restrictions, as well as to a generalized problem featuring heterogeneous penalty term difference orders and dynamic restrictions. We use our Generalized Multivariate Linear Filter to jointly estimate potential output, the natural rate of unemployment and the natural rate of interest, conditional on selected equilibrium conditions from a calibrated New Keynesian model. ER -