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Real time Representations of the Output Gap

Author

Listed:
  • Kevin Lee

    (University of Leicester)

  • Emi Mise

    (University of Leicester)

  • Kalvinder Shields

    (Melbourne)

  • Tony Garratt

    (Birkbeck College)

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. Copyright by the President and Fellows of Harvard College and the Massachusetts Institute of Technology.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Kevin Lee & Emi Mise & Kalvinder Shields & Tony Garratt, 2005. "Real time Representations of the Output Gap," Money Macro and Finance (MMF) Research Group Conference 2005 26, Money Macro and Finance Research Group.
    • Handle: RePEc:mmf:mmfc05:26
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    References listed on IDEAS

    as
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    More about this item

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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