On Applications of State-Space Modelling in Macroeconomics

Reserve Bank of New Zealand Discussion Paper No. DP2003/02

30 Pages Posted: 6 Jun 2003

See all articles by Olivier Basdevant

Olivier Basdevant

International Monetary Fund (IMF) - IMF Institute; Government of New Zealand - Department of Economics

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

Basdevant, Olivier, On Applications of State-Space Modelling in Macroeconomics (2003). Reserve Bank of New Zealand Discussion Paper No. DP2003/02, Available at SSRN: https://ssrn.com/abstract=404400 or http://dx.doi.org/10.2139/ssrn.404400

Olivier Basdevant (Contact Author)

International Monetary Fund (IMF) - IMF Institute ( email )

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Government of New Zealand - Department of Economics ( email )

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