A Simple Multivariate Filter for Estimating Potential Output

Patrick Blagrave, Roberto Garcia-Saltos (), Douglas Laxton and Fan Zhang

No 2015/079, IMF Working Papers from International Monetary Fund

Abstract: Estimates of potential output are an important ingredient of structured forecasting and policy analysis. Using information on consensus forecasts, this paper extends the multivariate filter developed by Benes and others (2010). Although the estimates in real time are more robust relative to those of naïve statistical filters, there is still significant uncertainty surrounding the estimates. The paper presents estimates for 16 countries and provides an example of how the filtered estimates at the end of the sample period can be improved with additional information.

Keywords: WP; production function; Macroeconomic Modeling; Potential Output; output-gap estimate; estimates of the output gap; output gap decomposition; inflation expectation; output gap to inflation; output tradeoff sense; Output gap; Inflation; Production growth; Unemployment; Global (search for similar items in EconPapers)
Pages: 30
Date: 2015-04-07
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Citations: View citations in EconPapers (58)

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