On Applications of State-Space Modelling in Macroeconomics
Reserve Bank of New Zealand Discussion Paper No. DP2003/02
30 Pages Posted: 6 Jun 2003
Date Written: 2003
Abstract
This paper reviews the literature on applications of state-space modelling to macroeconomic questions, with four examples related to modelling unobserved trends, transition across different steady states, expectations formation and forecasting/data revision issues. Due to the flexibility of the state-space approach, it is both a useful tool for research purposes and highly useful in addressing practical issues. In many cases, state-space modelling offers the possibility of building encompassing models, and formulating rather complicated problems in a simple manner.
JEL Classification: C30, C50, E17
Suggested Citation: Suggested Citation