Écart de production dans la zone euro. Une estimation par le filtre de Hodrick-Prescott multivarié

Odile Chagny and Matthieu Lemoine

Revue de l'OFCE, 2003, vol. 86, issue 3, 173-202

Abstract: This paper estimates the Euro area output gap with the multivariate Hodrick-Prescott filter. The results show that adding economic information can significantly modify the appreciation of the output gap level of the Euro area. The filter is rewritten as a state-space model and estimated with the Kalman filter and the EM algorithm. This strategy provides an alternative to the parameters calibration and allows to assess the reliability of the HPMV estimates. Estimated weights are coherent with the calibrated values used in the literature. The assessment of the reliability of the output gaps and of the revision properties shows the superiority of some HPMV models over the univariate HP filter. Integrating macro-economic information improves the accuracy of the inflation forecasts.

Date: 2003
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Related works:
Working Paper: Ecart de production dans la zone euro: une estimation par le filtre de Hodrick-Prescott multivarié (2003)
Working Paper: Ecart de production dans la zone euro: une estimation par le filtre de Hodrick-Prescott multivarié (2003)
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