English, Article, Journal or magazine article edition: Improving real-time estimates of the output gap Thomas M. Trimbur

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Bookmark: http://trove.nla.gov.au/version/156699
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Improving real-time estimates of the output gap
Author
  • Thomas M. Trimbur
Physical Description
  • preprint
Notes
  • This paper investigates strategies for real-time estimation of the output gap. First, I examine estimates from univariate models with stochastic cycles. This corresponds to the use of model-based band-pass filters in real-time, and I find that the turning points in real-time and final output gap series match more closely for higher order models and that the revisions properties and real-time accuracy are more favorable. Second, I investigate the use of capacity utilization as an auxiliary indicator to improve on output gap estimates in real-time. I find that this bivariate approach leads to significant gains in the accuracy of real-time estimates and in the quality of revisions.
  • RePEc:fip:fedgfe:2009-32
Language
  • English
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