EconPapers    
Economics at your fingertips  
 

Measuring Output Gap Uncertainty

Anthony Garratt (), James Mitchell and Shaun Vahey

No 909, Birkbeck Working Papers in Economics and Finance from Birkbeck, Department of Economics, Mathematics & Statistics

Abstract: We propose a methodology for producing density forecasts for the output gap in real time using a large number of vector autoregessions in inflation and output gap measures. Density combination utilizes a linear mixture of experts framework to produce potentially non-Gaussian ensemble densities for the unobserved output gap. In our application, we show that data revisions alter substantially our probabilistic assessments of the output gap using a variety of output gap measures derived from univariate detrending filters. The resulting ensemble produces well-calibrated forecast densities for US inflation in real time, in contrast to those from simple univariate autoregressions which ignore the contribution of the output gap. Combining evidence from both linear trends and more flexible univariate detrending filters induces strong multi-modality in the predictive densities for the unobserved output gap. The peaks associated with these two detrending methodologies indicate output gaps of opposite sign for some observations, reflecting the pervasive nature of model uncertainty in our US data.

Date: 2009-10
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-for and nep-mac
References: Add references at CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
https://eprints.bbk.ac.uk/id/eprint/7613 First version, 2009 (application/pdf)

Related works:
Working Paper: Measuring Output Gap Uncertainty (2010) Downloads
Working Paper: Measuring Output Gap Uncertainty (2009)
Working Paper: Measuring output gap uncertainty (2009) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bbk:bbkefp:0909

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Birkbeck Working Papers in Economics and Finance from Birkbeck, Department of Economics, Mathematics & Statistics Malet Street, London WC1E 7HX, UK.
Bibliographic data for series maintained by ( this e-mail address is bad, please contact ).

 
Page updated 2025-03-30
Handle: RePEc:bbk:bbkefp:0909