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Real-time representations of the output gap

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Garratt, Anthony, Lee, Kevin, Mise, Emi and Shields, Kalvinder K. (2008) Real-time representations of the output gap. Review of Economics and Statistics, Volume 90 (Number 4). pp. 792-804. doi:10.1162/rest.90.4.792 ISSN 0034-6535.

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Official URL: http://dx.doi.org/10.1162/rest.90.4.792

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Abstract

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.

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
Library of Congress Subject Headings (LCSH): Probability -- Macroeconomics, Macroeconomics -- Great Britain, Real-time data processing -- Macroeconomics, Great Britain -- Economic aspects
Journal or Publication Title: Review of Economics and Statistics
Publisher: MIT Press
ISSN: 0034-6535
Official Date: November 2008
Dates:
DateEvent
November 2008Published
17 October 2008Available
Volume: Volume 90
Number: Number 4
Number of Pages: 12
Page Range: pp. 792-804
DOI: 10.1162/rest.90.4.792
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

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