ESTIMATING POTENTIAL OUTPUT AND THE OUTPUT GAP FOR BRAZIL

Carlos Hamilton Vasconcelos Araujo, Marta Baltar Moreira Areosa and Osmani Teixeira de Carvalho Guillén ()

Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32th Brazilian Economics Meeting] from ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]

Abstract: This paper aims to estimate output gap for Brazilian economy through di.erents methodolies. We use traditional univariate techniques and propose a new semi-estructural methodology that combines HP filtering and the production function approach. In order to compare the di.erent potential output estimates, we use a Phillips curve to predict free price inflation and a rolling forecast experiment as a test of forecast accuracy. Our results shows that the forecasts produced by the Local level and Watson models are even more inaccurate than those generated by the simplest univariate models. The main evidence is that the Beveridge-Nelson methodology outperforms all the models at all forecast horizons.

JEL-codes: C32 E52 E31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac
Date: 2004
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