Multivariate Filter Estimation of Potential Output for the United States

Ali Alichi, Olivier Bizimana, Douglas Laxton, Kadir Tanyeri, Hou Wang, Jiaxiong Yao and Fan Zhang

No 2017/106, IMF Working Papers from International Monetary Fund

Abstract: Estimates of potential output are an important component of a structured forecasting and policy analysis system. Using information on capacity utilization, this paper extends the multivariate filter developed by Laxton and Tetlow (1992) and modified by Benes and others (2010), Blagrave and others (2015), and Alichi and others (2015). We show that, although still fairly uncertain, the real-time estimates from this approach are more accurate than estimates constructed from naïve univariate statistical filters. The paper presents illustrative estimates for the United States and discusses how the end-of-sample estimates can be improved with additional information.

Keywords: WP; financial crisis; Macroeconomic Modeling; Potential Output; output gap estimate; estimates of the output gap; output gap decomposition; output tradeoff sense; estimation result; potential output gap; coherence of output-gap estimate; inflation expectation; real-time estimate; Phillips curve; Output gap; Capacity utilization; Inflation; Global financial crisis of 2008-2009; Global (search for similar items in EconPapers)
Pages: 25
Date: 2017-05-04
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Citations: View citations in EconPapers (21)

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