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    Real time representations of the output gap

    Garratt, Anthony and Lee, K. and Mise, E. and Shields, K. (2005) Real time representations of the output gap. Working Paper. Birkbeck, University of London, London, UK.

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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 realisations 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 associated with the use of the Hodrick-Prescott filter 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 US 1965q4-2004q4 and the improvements over standard methods are illustrated.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: BWPEF 0619
    Keyword(s) / Subject(s): Output gap measurement, real time data, data revision, HP end-points, probability forecasts
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 28 Mar 2019 06:14
    Last Modified: 01 Aug 2019 10:34
    URI: http://eprints.bbk.ac.uk/id/eprint/26924

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