 Data Revisions and the Output GapNo 7956, Borradores de Economia from Banco de la Republica Abstract: Preliminary and delayed Colombian GDP reports are replaced with optimal in-sample now-casts of true" GDP figures derived from a model for data revisions. The new GDP time series is augmented with optimal out-of-sample forecasts and back-casts of the "true" GDP figures derived from the same model. The trend-cycle component of the augmented GDP series is filtered. The resulting gap is more resistant than the ordinary HP filter to the end of sample optimal filtering problem as well as to GDP revisions and delays. The short term noise of the final output gap estimate is also reduced. Adjusting for data revisions and delays reduce the uncertainty of estimated gaps. The extended and further extended HP estimates of the output gap show an impressive efficiency gain with respect to the ordinary HP gap, 43% and 47% respectively, on average. The new extension increases the efficiency in 7.4%, on average, with respect to extended HP estimates. These results constitute a benchmark to future work on real time estimation of the output gap under GDP revisions and delays in Colombia." Keywords: Data Revisions; Now-casting; Real Time Economic Analysis. (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:col:000094:007956 Access Statistics for this paper More papers in Borradores de Economia from Banco de la Republica |
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