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Real time representation of the UK output gap in the presence of model uncertainty

Garratt, Anthony and Lee, K. and Mise, E. and Shields, K. (2009) Real time representation of the UK output gap in the presence of model uncertainty. International Journal of Forecasting 25 (1), pp. 81-102. ISSN 0169-2070.

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We undertake an empirical analysis of the UK output gap using real-time data and an approach that accommodates, in a coherent way, three types of uncertainty when measuring the gap. These are model uncertainty (associated with the choice of model and de-trending technique), estimation uncertainty (with a given model) and measurement uncertainty (associated with the reliability of the data). The approach employs VAR models, along with Bayesian-style ‘model averaging’ procedures, to jointly explain and forecast real-time measures and realisations of output series. A comprehensive representation of the UK output gap and the associated uncertainties are provided in real time by probability forecasts over 1961q2–2005q4.

Item Type: Article
Keyword(s) / Subject(s): Output gap, real time data, revisions, output trends, model uncertainty, probability forecasts
School or Research Centre: Birkbeck Schools and Research Centres > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
Depositing User: Administrator
Date Deposited: 01 Feb 2011 09:54
Last Modified: 10 Jul 2013 13:06

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