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
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
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Working Paper: Improving the reliability of real-time Hodrick-Prescott Filtering using survey forecasts (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:man:cgbcrp:159
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