期刊名称：Birkbeck Working Papers in Economics and Finance / School of Economics, Mathematics and Statistics, Birkbeck College
印刷版ISSN：1745-8587
出版年度：2006
卷号：2006
出版社：London University
摘要：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 realisations 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 associated with the use of
the Hodrick-Prescott filter 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 US 1965q4-2004q4
and the improvements over standard methods are illustrated.
