Cyclical output,cyclical unemployment,and Okun's coefficient A structural time series approach |
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Affiliation: | 1. Department of Economics and Finance, La Trobe University, Bundoora, Victoria, Australia 3083;1. CUD San Javier, Universidad Politécnica de Cartagena, Spain;2. Universidad de Murcia, Facultad de Economía y Empresa, Spain;1. Department of Business and Economy, South East European University;2. Department of Mathematics, State University of Tetovo;3. Department of Economics, State University of Tetovo |
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Abstract: | Okun's coefficient is estimated from U.S. quarterly data covering the period 1947:1–1992:2. The cyclical components of unemployment and output are extracted by smoothing using the Kalman filter as applied to Harvey's structural time series model. The estimated Okun's coefficient is around −0.38 irrespective of the whether the model used is static or dynamic and irrespective of the lag length in the dynamic model. |
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