Skip to:
  1. Main navigation
  2. Main content
  3. Footer
Working Paper

A Unified Framework to Estimate Macroeconomic Stars

Download pdf Download appendix

This paper develops a semi-structural model to jointly estimate “stars” — long-run levels of output (its growth rate), the unemployment rate, the real interest rate, productivity growth, price inflation, and wage inflation. It features links between survey expectations and stars, time-variation in macroeconomic relationships, and stochastic volatility. Survey data help discipline stars’ estimates and have been crucial in estimating a high-dimensional model since the pandemic. The model has desirable real-time properties, competitive forecasting performance, and superior fit to the data compared to variants without the empirical features mentioned above. The by-products are estimates of various objects of great interest to the broader profession.

The latest estimates of stars and other model objects are available at https://github.com/zamansaeed/macrostars.

Topics
Econometrics, modeling, and forecasting
05.31.2024ISSN 2573-7953 WP 21-23R2Original Paper WP 21-23Revisions WP 21-23RDOI 10.26509/frbc-wp-202123r2
Keywords state-space model, Bayesian analysis, time-varying parameters, natural rates, survey expectations, COVID-19 pandemic
JEL Classification Codes C5, E4, E31, E24, O4

Working Papers of the Federal Reserve Bank of Cleveland are preliminary materials circulated to stimulate discussion and critical comment on research in progress. They may not have been subject to the formal editorial review accorded official Federal Reserve Bank of Cleveland publications. The views expressed in this paper are those of the authors and do not represent the views of the Federal Reserve Bank of Cleveland or the Federal Reserve System.

Suggested Citation

Zaman, Saeed. 2024. “A Unified Framework to Estimate Macroeconomic Stars.” Federal Reserve Bank of Cleveland, Working Paper No. 21-23R2. https://doi.org/10.26509/frbc-wp-202123r2