Output Gap Estimation for Inflation Forecasting: The Case of the Philippines

Cristeta Bagsic and Paul McNelis ()

MPRA Paper from University Library of Munich, Germany

Abstract: This paper examines alternative estimation models for obtaining output gap measures for the Philippines. These measures are combined with the rates of growth of broad money, nominal wages and oil prices for forecasting inflation. We find that models which combine these leading indicators in a nonlinear way out-perform other linear combinations of these variables for out-of-sample forecasting performance.

Keywords: forecasting; output gaps; principal components (search for similar items in EconPapers)
JEL-codes: E5 E52 F4 F47 (search for similar items in EconPapers)
Date: 2007-08
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Citations: View citations in EconPapers (4)

Published in BSP Working Paper Series 2007-01 (2007): pp. 1-32

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:86789

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