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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
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 |
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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: | Review of Economics and Statistics | ||||||
| Publisher: | MIT Press | ||||||
| ISSN: | 0034-6535 | ||||||
| Official Date: | November 2008 | ||||||
| Dates: |
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| 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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