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    Real-time representations of the output gap

    Garratt, Anthony 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.

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    Abstract

    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.

    Metadata

    Item Type: Article
    Keyword(s) / Subject(s): Output gap measurement, real time data, data revision, probability forecasts
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 18 Nov 2010 12:35
    Last Modified: 10 Jul 2013 13:06
    URI: http://eprints.bbk.ac.uk/id/eprint/1939

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