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Fresh perspectives on unobservable variables: Data decomposition of the Kalman smoother

Nicholas Sander

Published date:: 02 December 2013
ISSN/ISBN:: 2230‐5505
Reference:: AN2013/09

Fresh perspectives on unobservable variables: Data decomposition of the Kalman smoother

pdf 1.78 MB

Macroeconomics makes extensive use of concepts for which there are no observed data. Empirical estimates of such unobservable variables - core inflation is one example - have to be estimated from observed data. The data decomposition tool helps identify the contribution of each piece of observed data to the estimate of the unobservable variable.