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：This paper describes an approach that accommodates in a coherent way three types
of uncertainty when measuring the output gap. These are trend uncertainty
(associated with the choice of model and de-trending technique), estimation
uncertainty (with a given model) and data uncertainty (associated with the
reliability of data). The approach employs VAR models to explain real time
measures and realisations of output series jointly along with Bayesian-style
‘model averaging’ procedures. Probability forecasts provide a comprehensive
representation of the output gap and the associated uncertainties in real time.
The approach is illustrated using a real time dataset for the UK over 1961q2 —
2005q4.
