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The End-of-Sample Problem in Output Gap Estimates

Arturo Antón-Sarabia ()

Economía Mexicana NUEVA ÉPOCA, 2010, vol. XIX, issue 1, 5-29

Abstract: This paper evaluates to what extent the end-of-sample problem inherent to the Hodrick-Prescott (HP) filter may be ameliorated when estimating the output gap. For that purpose, the filter of St-Amant and van Norden (1997) is proposed using Mexican data under both univariate and multivariate methods. As a reference, the filter of Christiano and Fitzgerald (2003) and a simple linear trend method are also used. On average, the results suggest that both the univariate method of St-Amant and van Norden and the linear trend method may significantly decrease the end-of-sample problem of the HP filter. These results are used to interpret the conduct of monetary policy in Mexico during 2001-2002.

Keywords: GDP trend; output gap; end-of-sample problem; Mexico. (search for similar items in EconPapers)
JEL-codes: C82 E32 (search for similar items in EconPapers)
Date: 2010
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