Garratt, A. and Lee, K. and Mise, E. and Shields, K. (2008) Real-time representations of the output gap. Review of Economics & Statistics 90 (4), pp. 792-904. ISSN 0034-6535.
Text (Post-print draft)
Download (370Kb) | Preview
Methods are described for the appropriate use of data obtained and analysed in real time to represent the output gap. The methods employ cointegrating VAR techniques to model real-time measures and realizations of output series jointly. The model is used to mitigate the impact of data revisions; to generate appropriate forecasts that can deliver economically meaningful output trends and that can take into account the end-of-sample problems encountered in measuring these trends; and to calculate probability forecasts that convey in a clear way the uncertainties associated with the gap measures. The methods are applied to data for the United States 1965q4–2004q4, and the improvements over standard methods are illustrated.
|Keyword(s) / Subject(s):||Output gap measurement, real time data, data revision, probability forecasts|
|School or Research Centre:||Birkbeck Schools and Research Centres > School of Business, Economics & Informatics > Economics, Mathematics and Statistics|
|Date Deposited:||18 Nov 2010 12:35|
|Last Modified:||17 Apr 2013 12:33|
Archive Staff Only (login required)