Computing the moments of the filtered variables in a state-space system

Author: Ehlgen J.

Source: Applied Economics Letters, Volume 5, Number 12, 1 December 1998 , pp. 759-760(2)

Publisher: Routledge, part of the Taylor & Francis Group

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Abstract:

The business cycle implications of 'real business cycle' models are typically summarized by reporting the moments of the filtered model variables. In this letter a procedure to compute the exact moments of the filtered variables is described.

Language: English

Document Type: Research article

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