 Measuring the output gap in Switzerland with linear opinion poolsDaniel Buncic and Oliver Müller Economic Modelling, 2017, vol. 64, issue C, 153-171 Abstract: We use the recently proposed linear opinion pool methodology of Garratt et al. (2014) to construct real-time output gap estimates for Switzerland over the out-of-sample period from 2003:Q1 to 2015:Q4. The model space consists of a large number of bivariate VAR specifications for the output gap and inflation, with each VAR specification using a different estimate of the output gap, lag order, and structural break information. We find that the linear opinion pool performs rather poorly. Real-time estimates of the output gap are no more accurate than those from some simple benchmark models, no more robust to ex post revisions than the real-time estimates of the individual univariate output gaps, and do not produce more accurate forecasts of inflation. The key driver of ‘good’ forecast performance is structural break information. Once the same structural break information is conditioned upon in all prediction models, the gain from averaging over many different pools of models that utilize various output gap estimates or lag structures in the VAR specification is of negligible magnitude. Keywords: Linear opinion pool; Forecasting and nowcasting; Inflation; The output gap; Realtime; Data revision (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:64:y:2017:i:c:p:153-171 DOI: 10.1016/j.econmod.2017.03.007 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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