ESTIMATION OF A REAL BUSINESS CYCLE MODEL FOR THE IRAN'S ECONOMY: APPLYING KALMAN FILTERING APPROACH AND MAXIMUM LIKELIHOOD METHOD

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ABBASINEZHAD H.; SHAHMORADI ASGHAR; KAVAND H.

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Journal: Journal of Economic Research Year:2010 | Volume:44 | Issue:89 Page(s): 185-214

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Title

ESTIMATION OF A REAL BUSINESS CYCLE MODEL FOR THE IRAN'S ECONOMY: APPLYING KALMAN FILTERING APPROACH AND MAXIMUM LIKELIHOOD METHOD

Author(s)

ABBASINEZHAD H. | SHAHMORADI ASGHAR | KAVAND H. | Issue Writer Certificate

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Abstract

This paper estimates a simple Real Business Cycle (RBC) model for Iran using the Kalman Filtering and maximum likelihood methods. Ireland (2004) model is used to develop features of Iran's economy. Using quarterly and annual data from 1987:1 to 2005:4, the initial values of the parameters were established. Maximum likelihood method was sued to estimate the parameters of the model. The estimation of the unobservable variable such as the deviation of the technology from its steady state shows that its standard error has been decreased during the 1997 to 2005. This result illustrates that the economic stability has improved over this period. In addition, technological shocks are persistent in Iran's economy, though policy makers should have clear ideas to control them. The results of the estimated model show that the estimated values of the parameters such as the coefficient of AR(1) process for technology, the growth rate of quarterly per capita output are reasonable for the Iran's economy. Applying bootstrap method, the standard errhufhsors of the estimated parameters are calculated. In addition, the simulated auto-correlation coefficient and the standard errors of the cyclical part of the per capita real output, per capita real consumption are very close to their actual values in Iran's economy

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APA: Copy

ABBASINEZHAD, H., SHAHMORADI, ASGHAR, & KAVAND, H.. (2010). ESTIMATION OF A REAL BUSINESS CYCLE MODEL FOR THE IRAN'S ECONOMY: APPLYING KALMAN FILTERING APPROACH AND MAXIMUM LIKELIHOOD METHOD. TAHGHIGHAT-E-EGHTESADI, 44(89), 185-214. SID. https://sid.ir/paper/11882/en

Vancouver: Copy

ABBASINEZHAD H., SHAHMORADI ASGHAR, KAVAND H.. ESTIMATION OF A REAL BUSINESS CYCLE MODEL FOR THE IRAN'S ECONOMY: APPLYING KALMAN FILTERING APPROACH AND MAXIMUM LIKELIHOOD METHOD. TAHGHIGHAT-E-EGHTESADI[Internet]. 2010;44(89):185-214. Available from: https://sid.ir/paper/11882/en

IEEE: Copy

H. ABBASINEZHAD, ASGHAR SHAHMORADI, and H. KAVAND, “ESTIMATION OF A REAL BUSINESS CYCLE MODEL FOR THE IRAN'S ECONOMY: APPLYING KALMAN FILTERING APPROACH AND MAXIMUM LIKELIHOOD METHOD,” TAHGHIGHAT-E-EGHTESADI, vol. 44, no. 89, pp. 185–214, 2010, [Online]. Available: https://sid.ir/paper/11882/en

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