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Improving real-time estimates of output gaps and inflation trends with multiple-vintage models
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Clements, Michael P. and Galvão, Ana Beatriz (2011) Improving real-time estimates of output gaps and inflation trends with multiple-vintage models. Working Paper. London: Queen Mary University. (Queen Mary University Working Papers). (Unpublished)
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Official URL: http://www.econ.qmul.ac.uk/papers/wp/WP678.HTM
Abstract
Real-time estimates of output gaps and inflation trends differ from the values that are obtained using data available long after the event. Part of the problem is that the data on which the real-time estimates are based is subsequently revised. We show that vector-autoregressive models of data vintages provide forecasts of post-revision values of future observations and of already-released observations capable of improving real-time output gap and inflation trend estimates. Our findings indicate that annual revisions to output and inflation data are in part predictable based on their past vintages.
| Item Type: | Working or Discussion Paper (Working Paper) |
|---|---|
| Subjects: | H Social Sciences > HB Economic Theory H Social Sciences > HC Economic History and Conditions |
| Divisions: | Faculty of Social Sciences > Economics |
| Series Name: | Queen Mary University Working Papers |
| Publisher: | Queen Mary University |
| Place of Publication: | London |
| ISSN: | 1473-0278 |
| Date: | June 2011 |
| Number: | No.678 |
| Status: | Not Peer Reviewed |
| Publication Status: | Unpublished |
| Access rights to Published version: | Open Access |
| URI: | http://wrap.warwick.ac.uk/id/eprint/44604 |
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