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  1. 1 Ekonomický časopis (Journal of Economics)

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  1. 1 Kloudová D.

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  1. 1 2013

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PŘÍSTUP SVAR K ODHADU PRODUKČNÍ MEZERY – APLIKACE PRO SLOVENSKOU EKONOMIKU

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Kloudová D.
Ekonomický časopis (Journal of Economics)
|
2013
|
vol. 61
|
issue 5
482 – 496
EN
Although output gap belongs between important indicators of central banks, it is unobservable variable and it is difficult to measure it correctly. One of the methods of estimating output gap is structural VAR (SVAR) model. The purpose of this paper is analysis of SVAR models with two, three, four and five variables. It will be shown, that all four models will generate same business cycle and relative high correlation coefficient. Afterwards, output gaps estimated by SVAR models will be compared with output gap estimated by Hodrick-Prescott filter and it will be shown, that all five output gaps will generate the same cycle.
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