 Assessing uncertainty of output gap estimates: Evidence from Visegrad countriesJakub Chalmovianský and Daniel Němec Economic Modelling, 2022, vol. 116, issue C Abstract: The reliability of output gap estimates is a crucial factor for the successful implementation of economic policy. We evaluate the robustness and stability of output gap estimates while comparing structural and non-structural techniques, using recursive estimates and alternative stability indicators. Our results provide evidence that some structural approaches outperform other available methods. Structural approaches exhibit a higher order of stability. Especially the methods based on the Beveridge–Nelson decomposition outperform the other structural and non-structural methods. The stability of structural approaches increases as new data becomes available. Moreover, output gap uncertainty diminishes during the positive business cycle phases, and structural approaches offer better overall stability performance and exhibit more stable concordance of these estimates. Our results are robust to alternative prior density settings and reveal similar output gap uncertainty patterns for the Visegrad countries, the euro area, and the United States. Keywords: Output gap estimation; Visegrad countries; Output gap uncertainty; Bayesian estimation (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:eee:ecmode:v:116:y:2022:i:c:s026499932200236x DOI: 10.1016/j.econmod.2022.105994 Access Statistics for this article Economic Modelling is currently edited by S. Hall and P. Pauly More articles in Economic Modelling from Elsevier |
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