Cover IMF Working Papers
Buy Book in Print
A Closed Form Multivariate Linear Filter
Author:
Mr. Francis Vitek
Search for other papers by Mr. Francis Vitek in
Current site
Google Scholar Close
https://orcid.org/0000-0001-8661-7519
Series:
IMF Working Papers
Volume/Issue:
Volume 2018: Issue 275
Language:
English
Publication Date:
10 Dec 2018
DOI:
https://doi.org/10.5089/9781484388785.001
ISBN:
9781484388785
ISSN:
1018-5941
Pages:
24
Keywords:
WP; Closed form; Multivariate linear filter; New Keynesian model; Potential output; Natural rate of unemployment; Natural rate of interest; gap estimate; objective function; estimates to parameter perturbation; parameter estimate; maximization problem; inflation gap estimate; equilibrium value; interest rate gap; estimation Results; Unemployment rate; Output gap; Central bank policy rate; Neoclassical theory; Global
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Download PDF (1.1 MB) Download Epub
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.
  • Collapse
  • Expand
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund