BIROn - Birkbeck Institutional Research Online

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.

[img]
Preview
Text (Post-print draft)
1939.pdf

Download (370Kb) | Preview
Official URL: http://dx.doi.org/10.1162/rest.90.4.792

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.

Item Type: Article
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
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

Archive Staff Only (login required)

Edit/View Item Edit/View Item