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sectorgap: Consistent Economic Trend Cycle Decomposition

Determining potential output and the output gap - two inherently unobservable variables - is a major challenge for macroeconomists. 'sectorgap' features a flexible modeling and estimation framework for a multivariate Bayesian state space model identifying economic output fluctuations consistent with subsectors of the economy. The proposed model is able to capture various correlations between output and a set of aggregate as well as subsector indicators. Estimation of the latent states and parameters is achieved using a simple Gibbs sampling procedure and various plotting options facilitate the assessment of the results. For details on the methodology and an illustrative example, see Streicher (2024) <https://www.research-collection.ethz.ch/handle/20.500.11850/653682>.

Version: 0.1.0
Depends: R (≥ 2.10)
Imports: stats, KFAS, zoo, ggplot2, MCMCpack, dplyr, tidyr, tempdisagg
Published: 2024-01-22
DOI: 10.32614/CRAN.package.sectorgap
Author: Sina Streicher ORCID iD [aut, cre]
Maintainer: Sina Streicher <streicher.sina at gmail.com>
License: GPL-3
NeedsCompilation: no
Citation: sectorgap citation info
Materials: README
CRAN checks: sectorgap results

Documentation:

Reference manual: sectorgap.pdf

Downloads:

Package source: sectorgap_0.1.0.tar.gz
Windows binaries: r-devel: sectorgap_0.1.0.zip, r-release: sectorgap_0.1.0.zip, r-oldrel: sectorgap_0.1.0.zip
macOS binaries: r-release (arm64): sectorgap_0.1.0.tgz, r-oldrel (arm64): sectorgap_0.1.0.tgz, r-release (x86_64): sectorgap_0.1.0.tgz, r-oldrel (x86_64): sectorgap_0.1.0.tgz

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.