REAL-TIME REPRESENTATIONS OF THE OUTPUT GAP

• 成果类型: Article
• 署名作者: Garratt, Anthony; Lee, Kevin; Mise, Emi; Shields, Kalvinder
• 署名单位: University of Melbourne; University of London; Birkbeck University London; University of Leicester
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest.90.4.792
• 发表日期: 2008-11
• 页码: 792-804
• 关键词: series

摘要

Methods are described for the appropriate use of data obtained and analysed in real time to represent the output gap. The methods employ cointegrating VAR techniques to model real-time measures and realizations of output series jointly. The model is used to mitigate the impact of data revisions; to generate appropriate forecasts that can deliver economically meaningful output trends and that can take into account the end-of-sample problems encountered in measuring these trends; and to calculate probability forecasts that convey in a clear way the uncertainties associated with the gap measures. The methods are applied to data for the United States 1965q4-2004q4, and the improvements over standard methods are illustrated.