Finance and Economics Discussion Series: Estimating Changes in Trend Growth of Total Factor Productivity: Kalman and H-P Filters Versus a Markov-Switc by Mark W. French

Finance and Economics Discussion Series: Estimating Changes in Trend Growth of Total Factor Productivity: Kalman and H-P Filters Versus a Markov-Switc

Mark W. French

42 pages • missing pub info (editions)

nonfiction politics
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Trend growth in total factor productivity (TFP) is unobserved; it is frequently assumed to evolve continuously over time. That assumption is inherent in the use of the Hodrick-Prescott or Bandpass filter to extract trend. Similarly, the Kalman fil...

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