Real Time Representations of the Output Gap

Anthony Garratt (), Kevin Lee (), Emi Mise and Kalvinder Shields

No 619, Birkbeck Working Papers in Economics and Finance from Birkbeck, Department of Economics, Mathematics & Statistics

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.

Keywords: Output gap measurement; real time data; data revision; HP end-points; probability forecasts. (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Date: 2006-12
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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https://eprints.bbk.ac.uk/id/eprint/26924 First version, 2006 (application/pdf)

Related works:
Journal Article: Real-Time Representations of the Output Gap (2008)
Working Paper: Real time Representations of the Output Gap (2005)
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