Reliable real-time output gap estimates based on a modified Hamilton filter

Josefine Quast and Maik Wolters

No 133, IMFS Working Paper Series from Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)

Abstract: The authors contribute to the debate regarding the reliability of output gap estimates. As an alternative to the Hodrick-Prescott (HP) filter, they propose a simple modification of the filter proposed by Hamilton in 2018 that shares its favorable real-time properties, but leads to a more even coverage of typical business cycle frequencies. Based on output growth and inflation forecasts and a comparison to revised output gap estimates from policy institutions, they find that real-time output gaps based on the modified Hamilton filter are economically much more meaningful measures of the business cycle than those based on other simple statistical trend-cycle decomposition techniques such as the HP or the Bandpass filter.

Keywords: output gap; potential output; trend-cycle decomposition; Hamilton filter; real-time data; inflation forecasting (search for similar items in EconPapers)
JEL-codes: C18 E32 E37 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-ets, nep-for, nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/195063/1/1663135398.pdf (application/pdf)

Related works:
Journal Article: Reliable Real-Time Output Gap Estimates Based on a Modified Hamilton Filter (2022)
Working Paper: Reliable real-time output gap estimates based on a modified Hamilton filter (2020)
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:zbw:imfswp:133

Access Statistics for this paper

More papers in IMFS Working Paper Series from Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().