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Improving the reliability of real-time Hodrick-Prescott filtering using survey forecasts

Jaqueson Galimberti () and Marcelo Moura ()

Centre for Growth and Business Cycle Research Discussion Paper Series from Economics, The Univeristy of Manchester

Abstract: Incorporating survey forecasts to a forecast-augmented Hodrick-Prescott filter, we evidence a considerable improvement to the reliability of US output-gap estimation in realtime. Odds of extracting wrong signals of output-gap estimates are found to reduce by almost a half, and the magnitude of revisions to these estimates accounts to only three fifths of the output-gap average size, usually an one-by-one ratio. We further analyze how this end-of-sample uncertainty evolves as time goes on and observations accumulate, showing that a 90% rate of correct assessments of the output-gap sign can be attained with five quarters of delay using survey forecasts.

Pages: 21 pages
Date: 2011
New Economics Papers: this item is included in nep-cba, nep-ecm and nep-for
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Working Paper: Improving the reliability of real-time Hodrick-Prescott Filtering using survey forecasts (2014) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:man:cgbcrp:159

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