ADAPTIVE LEAST SQUARES: APPLICATION TO IRAN OUTPUT GAP

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JAFARISAMIMI AHMAD; ELMI ZAHRA (MILA); HADIZADE ARASH

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Journal: JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN Year:2012 | Volume:1 | Issue:2 Page(s): 1-26

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Information Journal Paper

Title

ADAPTIVE LEAST SQUARES: APPLICATION TO IRAN OUTPUT GAP

Author(s)

JAFARISAMIMI AHMAD | ELMI ZAHRA (MILA) | HADIZADE ARASH | Issue Writer Certificate

Keywords

ADAPTIVE LEAST SQUARESQ2

GDPQ2

OUTPUT GAPQ2

Abstract

This paper estimates the long term trend in Iran real GDP using a new econometric technique, ADAPTIVE LEAST SQUARES (ALS). ALS is a special case of the Kalman Filter that allows for a time varying parameter model to be estimated relatively easily. The estimated trend is then used to estimate the OUTPUT GAP. According to results, coefficients of gaps in models with gap, are not significantly different from zero, there up on model with intercept and trend and without any gaps have been tested. The OUTPUT GAP estimation that has been provided in this paper can be used in monetary policies. The comparison of results of ALS, OLS and HP filter shows that the ALS method provides a better estimate.

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APA: Copy

JAFARISAMIMI, AHMAD, ELMI, ZAHRA (MILA), & HADIZADE, ARASH. (2012). ADAPTIVE LEAST SQUARES: APPLICATION TO IRAN OUTPUT GAP. JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, 1(2), 1-26. SID. https://sid.ir/paper/226553/en

Vancouver: Copy

JAFARISAMIMI AHMAD, ELMI ZAHRA (MILA), HADIZADE ARASH. ADAPTIVE LEAST SQUARES: APPLICATION TO IRAN OUTPUT GAP. JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN[Internet]. 2012;1(2):1-26. Available from: https://sid.ir/paper/226553/en

IEEE: Copy

AHMAD JAFARISAMIMI, ZAHRA (MILA) ELMI, and ARASH HADIZADE, “ADAPTIVE LEAST SQUARES: APPLICATION TO IRAN OUTPUT GAP,” JOURNAL OF APPLIED ECONOMICS STUDIES IN IRAN, vol. 1, no. 2, pp. 1–26, 2012, [Online]. Available: https://sid.ir/paper/226553/en

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