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Real time representation of the UK output gap in the presence of model uncertainty
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Garratt, Anthony, Lee, Kevin, Mise, Emi and Shields, Kalvinder K. (2009) Real time representation of the UK output gap in the presence of model uncertainty. International Journal of Forecasting, Volume 25 (Number 1). pp. 81-102. doi:10.1016/j.ijforecast.2008.11.005 ISSN 0169-2070.
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Official URL: http://dx.doi.org/10.1016/j.ijforecast.2008.11.005
Abstract
We undertake an empirical analysis of the UK output gap using real-time data and an approach that accommodates, in a coherent way, three types of uncertainty when measuring the gap. These are model uncertainty (associated with the choice of model and de-trending technique), estimation uncertainty (with a given model) and measurement uncertainty (associated with the reliability of the data). The approach employs VAR models, along with Bayesian-style ‘model averaging’ procedures, to jointly explain and forecast real-time measures and realisations of output series. A comprehensive representation of the UK output gap and the associated uncertainties are provided in real time by probability forecasts over 1961q2–2005q4.
| Item Type: | Journal Article | ||||||
|---|---|---|---|---|---|---|---|
| Subjects: | H Social Sciences > HB Economic Theory | ||||||
| Divisions: | Faculty of Social Sciences > Warwick Business School > Global Energy Faculty of Social Sciences > Warwick Business School |
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| Library of Congress Subject Headings (LCSH): | Probability -- Macroeconomics, Macroeconomics -- Great Britain, Real-time data processing -- Macroeconomics, Great Britain -- Economic aspects | ||||||
| Journal or Publication Title: | International Journal of Forecasting | ||||||
| Publisher: | Elsevier | ||||||
| ISSN: | 0169-2070 | ||||||
| Official Date: | January 2009 | ||||||
| Dates: |
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| Volume: | Volume 25 | ||||||
| Number: | Number 1 | ||||||
| Number of Pages: | 21 | ||||||
| Page Range: | pp. 81-102 | ||||||
| DOI: | 10.1016/j.ijforecast.2008.11.005 | ||||||
| Status: | Peer Reviewed | ||||||
| Publication Status: | Published | ||||||
| Access rights to Published version: | Restricted or Subscription Access |
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