E - Macroeconomics and Monetary Economics - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T15:46:31+00:00A Simple Multivariate Filter for the Measurement of Potential Output
https://www.bankofcanada.ca/1992/06/technical-report-no59/
This paper examines techniques that have been used to estimate potential output and finds them wanting. We suggest a simple multivariate-filtering technique that is a generalization of the Hodrick-Prescott univariate filter. In univariate filters, only information about a variable itself is used in eliminating noise in order to obtain an estimate of the underlying trend. […]1992-06-14T11:02:56+00:00enA Simple Multivariate Filter for the Measurement of Potential Output1992-06-14Potential outputDouglas LaxtonRobert TetlowJune 1992CC1C15EE2