Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 2018 erstellt
Description:
This paper considers the problem of jointly decomposing a set of time series variablesinto cyclical and trend components, subject to sets of stochastic linear restrictionsamong these cyclical and trend components. We derive a closed form solution to anordinary problem featuring homogeneous penalty term difference orders and staticrestrictions, as well as to a generalized problem featuring heterogeneous penalty termdifference orders and dynamic restrictions. We use our Generalized Multivariate LinearFilter to jointly estimate potential output, the natural rate of unemployment and thenatural rate of interest, conditional on selected equilibrium conditions from a calibratedNew Keynesian model