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  • 标题:Real Time Representation of the UK Output Gap in the Presence of Trend Uncertainty
  • 本地全文:下载
  • 作者:Anthony Garratt ; Kevin Lee ; Emi Mise
  • 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.
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