| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7742 |
| DP7742 Measuring Output Gap Uncertainty | |
| Anthony Garratt; Shaun Vahey; James Mitchell | |
| 发表日期 | 2010-03-14 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We propose a methodology for producing density forecasts for the output gap in real time using a large number of vector autoregessions in inflation and output gap measures. Density combination utilizes a linear mixture of experts framework to produce potentially non-Gaussian ensemble densities for the unobserved output gap. In our application, we show that data revisions alter substantially our probabilistic assessments of the output gap using a variety of output gap measures derived from univariate detrending filters. The resulting ensemble produces well-calibrated forecast densities for US inflation in real time, in contrast to those from simple univariate autoregressions which ignore the contribution of the output gap. Combining evidence from both linear trends and more flexible univariate detrending filters induces strong multi-modality in the predictive densities for the unobserved output gap. The peaks associated with these two detrending methodologies indicate output gaps of opposite sign for some observations, reflecting the pervasive nature of model uncertainty in our US data. |
| 主题 | International Macroeconomics |
| 关键词 | Output gap uncertainty Density combination Ensemble forecasting Var models |
| URL | https://cepr.org/publications/dp7742 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536578 |
| 推荐引用方式 GB/T 7714 | Anthony Garratt,Shaun Vahey,James Mitchell. DP7742 Measuring Output Gap Uncertainty. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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