Browsing by Author Éva, Gyurkovics
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The first purpose of this paper is to propose a theoretically new robust filter method to estimate non-observable macroeconomic indicators. The second purpose is to apply the proposed method to estimate the Hungarian potential GDP in 2000–2021. The novelty of the proposed filter method is that — unlike papers published so far — it does not require the stability of the dynamic model, only a partial stability condition must be satisfied. Moreover, such time-dependent uncertainties and nonlinearities can arise in the model that satisfy a general quadratic constraint. An important advantage of the proposed robust filter method over the traditional Kalman filter is that no stochastic assum... |
