Production Function Output Gap Estimation
Data for estimation
Applies suitable contraining functions to parameters.
Fit best production function model
NAWRU model suggestion
TFP model suggestion
Computes the covariance of the estimated parameters given restrictions...
Applies contraints to parameters.
CUBS indicator
Find suitable cycle specification
Finds first/last starting/end date in list of time series deepening on...
Extracts the derivative of the applied restriction function.
Accesses the internal data frame dfSystem which contains data on the p...
Temporally Aggregates time series.
Assigns the appropriate function and its input variables for the Gibbs...
Estimates the parameters and states of a two-dimensional state-space m...
Estimates the parameters and states of a two-dimensional state-space m...
Checks the input parameters of .BayesFitTFP and .BayesFitNAWRU for...
Checks whether estimated parameters lie on boundaries.
Checks the input variables for the procedure cubs for consistency an...
Checks the covariance matrix for invertibility and negative entries on...
Checks the input variables for the procedure KuttnerModel for consis...
Checks whether model, prior and MLE fit match.
Checks whether model and prior match.
Checks the input variables for the procedure NAWRUmodel for consiste...
Checks the given variance restrictions for consistency.
Checks the given prior information for consistency and applicability.
Checks the input variables for the procedure TFPmodel for consistenc...
Computes the covariance of an AR(q) process.
computes the unconditional variance of the cubs equation with p lags o...
Adjusts the frequency of cubs input series.
Computes standard errors of the observation equation using the delta m...
Computes standard errors of the state using the delta method.
defines Y and X in the CUBS equation.
defines Y and X for the Phillips curve.
Draws from the posterior of the parameters of the cubs equation, condi...
Draws from the posterior of the parameters of the AR(p), p = 1,2 cyc...
Draws from the posterior of the parameters of the damped trend equatio...
Draws from the posterior of the parameters of the RAR2 cycle equation,...
Initializes the location file containing default parameter constraints...
Initializes variance restrictions.
Computes confidence interval of Inverse Gamma distributed variable wit...
Converts the mean and standard deviation of a (possibly scaled) Beta-d...
Converts the mean and standard deviation of a Gamma-distributed variab...
Estimates a two-dimensional state-space model and performs filtering a...
Estimates a two-dimensional state-space model and performs filtering a...
Modifies a an object of type NAWRUmodel or TFPmodel in case the va...
Draws from the multivariate normal distribution.
Normalizes a time series / vector.
Draws from the posterior the autoregressive parameter of a stationary ...
Draws from the posterior of the autoregressive paramteres of a station...
Draws from the posterior of parameters of a normal model with normal i...
Draws from the posterior of the variance parameter of a random walk or...
Prints the results of the Geweke test for the states and the parameter...
Prints the model specifications.
Prints the model fit and possibly specifications.
Transforms the prior distribution defined by mean and standard deviati...
Transforms the parameters of an AR(2) process to its re-parametrized v...
Computes figures regarding the model fit of the maximum likelihood est...
Computes additional results of the Kalman filter and smoother.
Computes additional results of the Kalman filter and smoother for Baye...
Prepares state space model system matrices to create an object of type...
Updates the parameter constraints for on object of class NAWRUmodel ...
Updates the system matrices of an object of class NAWRUmodel or `TFP...
Extracts the relevant 'AMECO' data
Extracts the relevant 'AMECO' indicator data.
Current 'AMECO' data vintage
Capitalizes the first letter of a string.
Maximum likelihood estimation of a KuttnerModel
Estimation of a NAWRUmodel
Fit Method
Estimation of a TFPmodel
Computes mean and variance of the part of the posterior distribution t...
HP-filter output gap
Production function output gap
Conducts a Geweke test for convergence of the draws.
Growth rate
model selection fit comparison helper function
model comparison helper function
model selection helper function
Computes the approximate highest posterior density interval (HPDI).
HP filter
Computes standard errors, t-statistics, and p-values for the estimated...
Initialization of exogenous variables
Initialization of prior distributions
Initialization of parameter restrictions
gap object check
KuttnerFit object check
KuttnerModel object check
NAWRUfit object check
NAWRUodel object check
TFPfit object check
TFPmodel object check
Kuttner model
Capitalizes the first letter of a string.
Computes MCMC summary statistics.
NAWRU model
Find suitable 2nd observation specification
Performs a mathematical operation to the ts elements of two lists with...
Plots for a gap object
Plots for a KuttnerFit object
Plots for a NAWRUfit object
Plots for a TFPfit object
Plots the diagnostic plots of the posterior distribution.
Plots the trend series and the (fitted) second observation equation an...
Plots the trend series and the (fitted) second observation equation an...
Plots the trend series and the (fitted) second observation equation an...
Predictions
Predictions for Bayesian estimation
Predictions for MLE
Print gap object
Print KuttnerFit object
Print KuttnerModel object
Print NAWRUfit object
Print NAWRUmodel object
Print TFPfit object
Print TFPmodel object
TFP trend model
Trend anchor
Find suitable trend specification
Trend volatility measures
The output gap indicates the percentage difference between the actual output of an economy and its potential. Since potential output is a latent process, the estimation of the output gap poses a challenge and numerous filtering techniques have been proposed. 'RGAP' facilitates the estimation of a Cobb-Douglas production function type output gap, as suggested by the European Commission (Havik et al. 2014) <https://ideas.repec.org/p/euf/ecopap/0535.html>. To that end, the non-accelerating wage rate of unemployment (NAWRU) and the trend of total factor productivity (TFP) can be estimated in two bivariate unobserved component models by means of Kalman filtering and smoothing. 'RGAP' features a flexible modeling framework for the appropriate state-space models and offers frequentist as well as Bayesian estimation techniques. Additional functionalities include direct access to the 'AMECO' <https://economy-finance.ec.europa.eu/economic-research-and-databases/economic-databases/ameco-database_en> database and automated model selection procedures. See the paper by Streicher (2022) <http://hdl.handle.net/20.500.11850/552089> for details.