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| Main Author: | |
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| Format: | Artículo científico |
| Language: | en |
| Published: |
El Colegio de México, A.C.
2019
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| Subjects: | |
| Online Access: | https://www.redalyc.org/articulo.oa?id=59760151001 https://www.redalyc.org/journal/597/59760151001/ https://www.redalyc.org/journal/597/59760151001/html/ https://www.redalyc.org/journal/597/59760151001/59760151001.epub https://www.redalyc.org/journal/597/59760151001/movil |
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| _version_ | 1866814355265290240 |
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| author | Alejandro Islas |
| author_facet | Alejandro Islas |
| contents | Joint smoothing of GDP and unemployment with a bivariate HP filter Alejandro Islas Víctor M. Guerrero Economía y Finanzas correlations Business cycle smoothness index signal extraction cyclical unemployment The problem of jointly estimating unobserved trends and cycles of a bivariate time series considered here appears within the macroeconomic context of Okuns Law when relating output gaps and the unemployment rate. Joint estimation of the output and unemployment trends is carried out by applying a bivariate time series filter that allows for simultaneous estimation of the correlation between cycles. The estimation procedure employed is based on an extension of the univariate Hodrick-Prescott filter and its application in practice is relatively easy. The main contribution of our approach is that we can control the amount of smoothness in the trends by fixing the smoothing parameter. The empirical application uses data on U.S. real gross domestic product and the unemployment rate. 2019 artículo científico 0188-6916 https://www.redalyc.org/articulo.oa?id=59760151001 https://www.redalyc.org/journal/597/59760151001/ https://www.redalyc.org/journal/597/59760151001/html/ https://www.redalyc.org/journal/597/59760151001/59760151001.epub https://www.redalyc.org/journal/597/59760151001/movil en http://www.redalyc.org/revista.oa?id=597 Estudios Económicos application/pdf El Colegio de México, A.C. Estudios Económicos (México) Num.1 Vol.34 |
| format | Artículo científico |
| id | redalyc_59760151001 |
| language | en |
| publishDate | 2019 |
| publisher | El Colegio de México, A.C. |
| spellingShingle | Joint smoothing of GDP and unemployment with a bivariate HP filter Alejandro Islas Economía y Finanzas correlations Business cycle smoothness index signal extraction cyclical unemployment Joint smoothing of GDP and unemployment with a bivariate HP filter Alejandro Islas Víctor M. Guerrero Economía y Finanzas correlations Business cycle smoothness index signal extraction cyclical unemployment The problem of jointly estimating unobserved trends and cycles of a bivariate time series considered here appears within the macroeconomic context of Okuns Law when relating output gaps and the unemployment rate. Joint estimation of the output and unemployment trends is carried out by applying a bivariate time series filter that allows for simultaneous estimation of the correlation between cycles. The estimation procedure employed is based on an extension of the univariate Hodrick-Prescott filter and its application in practice is relatively easy. The main contribution of our approach is that we can control the amount of smoothness in the trends by fixing the smoothing parameter. The empirical application uses data on U.S. real gross domestic product and the unemployment rate. 2019 artículo científico 0188-6916 https://www.redalyc.org/articulo.oa?id=59760151001 https://www.redalyc.org/journal/597/59760151001/ https://www.redalyc.org/journal/597/59760151001/html/ https://www.redalyc.org/journal/597/59760151001/59760151001.epub https://www.redalyc.org/journal/597/59760151001/movil en http://www.redalyc.org/revista.oa?id=597 Estudios Económicos application/pdf El Colegio de México, A.C. Estudios Económicos (México) Num.1 Vol.34 |
| title | Joint smoothing of GDP and unemployment with a bivariate HP filter |
| topic | Economía y Finanzas correlations Business cycle smoothness index signal extraction cyclical unemployment |
| url | https://www.redalyc.org/articulo.oa?id=59760151001 https://www.redalyc.org/journal/597/59760151001/ https://www.redalyc.org/journal/597/59760151001/html/ https://www.redalyc.org/journal/597/59760151001/59760151001.epub https://www.redalyc.org/journal/597/59760151001/movil |