sectorgap: Consistent Economic Trend Cycle Decomposition

Determining potential output and the output gap - two inherently unobservable variables - is a major challenge for macroeconomists. 'sectorgap' features a flexible modeling and estimation framework for a multivariate Bayesian state space model identifying economic output fluctuations consistent with subsectors of the economy. The proposed model is able to capture various correlations between output and a set of aggregate as well as subsector indicators. Estimation of the latent states and parameters is achieved using a simple Gibbs sampling procedure and various plotting options facilitate the assessment of the results. For details on the methodology and an illustrative example, see Streicher (2024) <https://www.research-collection.ethz.ch/handle/20.500.11850/653682>.

Version:	0.1.0
Depends:	R (≥ 2.10)
Imports:	stats, KFAS, zoo, ggplot2, MCMCpack, dplyr, tidyr, tempdisagg
Published:	2024-01-22
DOI:	10.32614/CRAN.package.sectorgap
Author:	Sina Streicher [aut, cre]
Maintainer:	Sina Streicher <streicher.sina at gmail.com>
License:	GPL-3
NeedsCompilation:	no
Citation:	sectorgap citation info
Materials:	README
CRAN checks:	sectorgap results

Documentation:

Downloads:

Linking:

Please use the canonical form https://CRAN.R-project.org/package=sectorgap to link to this page.