A Simple Multivariate Filter for Estimating Potential Output
Electronic Access:
Free Download. Use the free Adobe Acrobat Reader to view this PDF file
Summary:
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.
Series:
Working Paper No. 15/79
Subject:
Econometric models Economic theory Gross domestic product Inflation Parameter estimation Potential output Unemployment
English
Publication Date:
April 7, 2015
ISBN/ISSN:
9781475565133/1018-5941
Stock No:
WPIEA2015079
Format:
Paper
Pages:
30
Please address any questions about this title to publications@imf.org