Arbeitspapier
Sectorgap: An R package for consistent economic trend cycle decomposition
Determining potential output and the output gap-two inherently unobservable variables-is a major challenge for macroeconomists. This paper presents the R package sectorgap, which 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. An illustrative example with Swiss data outline data preparation, model definition, estimation, and evaluation using sectorgap.
- Language
-
Englisch
- Bibliographic citation
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Series: KOF Working Papers ; No. 514
- Classification
-
Wirtschaft
- Subject
-
state space models
time series
simulation smoother
Gibbs sampling
business cycle
output gap
potential output
- Event
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Geistige Schöpfung
- (who)
-
Streicher, Sina
- Event
-
Veröffentlichung
- (who)
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ETH Zurich, KOF Swiss Economic Institute
- (where)
-
Zurich
- (when)
-
2024
- DOI
-
doi:10.3929/ethz-b-000653682
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Streicher, Sina
- ETH Zurich, KOF Swiss Economic Institute
Time of origin
- 2024
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