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

    Garratt, Anthony and Lee, K. and Mise, E. and Shields, K. (2006) Real time representation of the UK output gap in the presence of trend uncertainty. Working Paper. Birkbeck, University of London, London, UK.

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    Abstract

    This paper describes an approach that accommodates in a coherent way three types of uncertainty when measuring the output gap. These are trend uncertainty (associated with the choice of model and de-trending technique), estimation uncertainty (with a given model) and data uncertainty (associated with the reliability of data). The approach employs VAR models to explain real time measures and realisations of output series jointly along with Bayesian-style ‘model averaging’ procedures. Probability forecasts provide a comprehensive representation of the output gap and the associated uncertainties in real time. The approach is illustrated using a real time dataset for the UK over 1961q2 — 2005q4.

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: BWPEF 0618
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 28 Mar 2019 06:31
    Last Modified: 13 Feb 2021 06:29
    URI: https://eprints.bbk.ac.uk/id/eprint/26925

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