| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15758 |
| DP15758 Aggregate Output Measurements: A Common Trend Approach | |
| Martin Almuzara; Gabriele Fiorentini; ENRIQUE SENTANA | |
| 发表日期 | 2021-02-02 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We analyze a model for N different measurements of a persistent latent time series when measurement errors are mean-reverting, which implies a common trend among measurements. We study the consequences of overdifferencing, finding potentially large biases in maximum likelihood estimators of the dynamics parameters and reductions in the precision of smoothed estimates of the latent variable, especially for multiperiod objects such as quinquennial growth rates. We also develop an R2 measure of common trend observability that determines the severity of misspecification. Finally, we apply our framework to US quarterly data on GDP and GDI, obtaining an improved aggregate output measure. |
| 主题 | Monetary Economics and Fluctuations |
| 关键词 | Cointegration Gdp Gdi Overdifferencing Signal extraction |
| URL | https://cepr.org/publications/dp15758 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544760 |
| 推荐引用方式 GB/T 7714 | Martin Almuzara,Gabriele Fiorentini,ENRIQUE SENTANA. DP15758 Aggregate Output Measurements: A Common Trend Approach. 2021. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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