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A Simple Multivariate Filter for Estimating Potential Output

Author

Listed:
  • Patrick Blagrave
  • Mr. Roberto Garcia-Saltos
  • Mr. Douglas Laxton
  • Fan Zhang

Abstract

Estimates of potential output are an important ingredient of structured forecasting and policy analysis. Using information on consensus forecasts, this paper extends the multivariate filter developed by Benes and others (2010). Although the estimates in real time are more robust relative to those of naïve statistical filters, there is still significant uncertainty surrounding the estimates. The paper presents estimates for 16 countries and provides an example of how the filtered estimates at the end of the sample period can be improved with additional information.

Suggested Citation

  • Patrick Blagrave & Mr. Roberto Garcia-Saltos & Mr. Douglas Laxton & Fan Zhang, 2015. "A Simple Multivariate Filter for Estimating Potential Output," IMF Working Papers 2015/079, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2015/079
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    References listed on IDEAS

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