Estimating Potential Output, Core Inflation, and the NAIRU as Latent Variables
提出一种新方法，利用不可观测成分模型同时估计美国的NAIRU、核心通胀率和趋势投资率，模型包含奥肯定律、前瞻性菲利普斯曲线和加速型投资方程，并通过最大似然法和卡尔曼滤波进行估计。
This article proposes a new method to obtain estimates of the NAIRU, the core inflation rate, and the trend investment rate for the United States using an unobserved components model that is compatible with the usual decomposition of real gross domestic product into trend and cycle. The model includes Okun's law, a forward-looking Phillips curve, and an accelerator-type investment equation and accounts for some volatility breaks in two components. The unknown parameters in the model are estimated by maximum likelihood using a Kalman filter initialized with a partially diffuse prior, and the unobserved components are estimated using a smoothing algorithm. Our results show that the output gap is positively correlated with the deviations of the investment rate from its trend and the inflation rate from core inflation, and negatively correlated with the deviations of the unemployment rate from the NAIRU.