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The Unreliability of Output Gap Estimates in Real Time

Athanasios Orphanides () and Simon van Norden ()

CIRANO Working Papers from CIRANO

Abstract: We examine the reliability of alternative output detrending methods, with special attention to the accuracy of real-time estimates of the output gap. We show that ex post revisions of the estimated gap are of the same order of magnitude as the estimated gap itself and that these revisions are highly persistent. Although important, the revision of published data is not the primary source of revisions in measured output gaps; the bulk of the problem is due to the pervasive unreliability of end-of-sample estimates of the trend in output. Multivariate methods that incorporate information from inflation to estimate the output gap are not more reliable than their univariate counterparts. Nous examinons la fiabilité de plusieurs méthodes qui sont utilisés pour rendre des séries chronologiques stationnaires, en portant une attention particulière à la précision des estimations en temps réel de l'écart de la production. Nous montrons que de la taille des révisions ex post de nos estimations de l'écart et celle des estimations faites en temps réels sont du même ordre de grandeur et que ces révisions sont fortement persistantes. Même si elle est importante, la révision des données n'est pas la source principale des révisions des estimations. La majorité de ce problème est due à la forte imprécision des estimations des tendances actuelles de la production. Des techniques multivariés, qui exploitent aussi le taux d'inflation pour estimer l'écart de la production, ne sont pas plus précises que leurs équivalents univariés.

Keywords: Real-time data; output gap; business cycle measurement; données en temps réels; l'écart de la production; l'estimation du cycle d'affaire (search for similar items in EconPapers)
JEL-codes: C4 E32 (search for similar items in EconPapers)
Date: 2001-11-01
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https://cirano.qc.ca/files/publications/2001s-57.pdf

Related works:
Journal Article: The Unreliability of Output-Gap Estimates in Real Time (2002) Downloads
Working Paper: The Reliability of Output Gap Estimates in Real Time (2000) Downloads
Working Paper: The reliability of output gap estimates in real time (1999) Downloads
Working Paper: The Reliability of Output Gap Estimates in Real Time (1999) Downloads
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