Japan’s output gap estimation and ℓ 1 trend filtering

Hiroshi Yamada () and Lan Jin

Empirical Economics, 2013, vol. 45, issue 1, 88 pages

Abstract: This paper estimates Japan’s output gap using the recently developed ℓ 1 trend filter, which is an alternative to the popular Hodrick–Prescott (HP) filter. This new filter provides a piecewise linear trend line, which means it possibly provides better output gap estimates than the HP filter does for an economy such as Japan that has experienced some structural breaks. Copyright Springer-Verlag 2013

Keywords: Output gap; ℓ 1 trend filter; Hodrick–Prescott filter; Structural break; Lasso; E32; C22 (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s00181-012-0625-x

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