01724cas a2200241 a 4500 AALejournalIMF018940 230101c9999 xx r poo 0 0eng d 5.00 USD 9781484388785 1018-5941 BD-DhAAL BD-DhAAL Vitek, Francis. A Closed Form Multivariate Linear Filter / Francis Vitek. Washington, D.C. : International Monetary Fund, 2018. 1 online resource (24 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper considers the problem of jointly decomposing a set of time series variables into cyclical and trend components, subject to sets of stochastic linear restrictions among these cyclical and trend components. We derive a closed form solution to an ordinary problem featuring homogeneous penalty term difference orders and static restrictions, as well as to a generalized problem featuring heterogeneous penalty term difference orders and dynamic restrictions. We use our Generalized Multivariate Linear Filter to jointly estimate potential output, the natural rate of unemployment and the natural rate of interest, conditional on selected equilibrium conditions from a calibrated New Keynesian model. Mode of access: Internet IMF Working Papers; Working Paper ; No. 2018/275 Full text available on IMF http://elibrary.imf.org/view/journals/001/2018/275/001.2018.issue-275-en.xml IMF e-Library