Multivariate Filter Estimation of Potential Output for the United States /:
Estimates of potential output are an important component of a structured forecasting and policy analysis system. Using information on capacity utilization, this paper extends the multivariate filter developed by Laxton and Tetlow (1992) and modified by Benes and others (2010), Blagrave and others (2...
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C.] :
International Monetary Fund,
[2017]
|
| Schriftenreihe: | IMF working paper ;
WP/17/106. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | Estimates of potential output are an important component of a structured forecasting and policy analysis system. Using information on capacity utilization, this paper extends the multivariate filter developed by Laxton and Tetlow (1992) and modified by Benes and others (2010), Blagrave and others (2015), and Alichi and others (2015). We show that, although still fairly uncertain, the real-time estimates from this approach are more accurate than estimates constructed from naive univariate statistical filters. The paper presents illustrative estimates for the United States and discusses how the end-of-sample estimates can be improved with additional information. |
| Beschreibung: | 1 online resource (26 pages) |
| ISBN: | 9781475598605 1475598602 |
| ISSN: | 1018-5941 ; |
Internformat
MARC
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| 245 | 1 | 0 | |a Multivariate Filter Estimation of Potential Output for the United States / |c by Ali Alichi [and six others]. |
| 264 | 1 | |a [Washington, D.C.] : |b International Monetary Fund, |c [2017] | |
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| 505 | 0 | |a Cover; Table of Contents; Abstract; I. Introduction; II. Potential Output-A Brief Overview of Common Estimation Techniques; III. Methodology; IV. Estimating the Output Gap For the United States; V. Uncertainty in Estimating the Output Gap and Potential; VI. Conclusion; References; Figures; Figure 1. Shocks to the Level and Growth Rate of Potential Output, and to the Output Gap; Figure 2. Output Gap Decomposition; Figure 3. Output gap, Unemployment Gap, Capacity Utilization Gap, and Inflation; Figure 4. 95-Percent Confidence Bands for Estimates of Potential Growth. | |
| 505 | 8 | |a Figure 5. 95-Percent Confidence Bands for Estimates of Output GapFigure 6. Potential Growth Estimates as the Sample is Extended; Tables; Table 1. Comparison of Results; Table 2. Standard Deviation of Supply and Demand Shocks; Appendix Tables; Table A1. Data Sources; Table A2. Estimated Parameters; Table A3. Calibrated Parameters. | |
| 520 | 3 | |a Estimates of potential output are an important component of a structured forecasting and policy analysis system. Using information on capacity utilization, this paper extends the multivariate filter developed by Laxton and Tetlow (1992) and modified by Benes and others (2010), Blagrave and others (2015), and Alichi and others (2015). We show that, although still fairly uncertain, the real-time estimates from this approach are more accurate than estimates constructed from naive univariate statistical filters. The paper presents illustrative estimates for the United States and discusses how the end-of-sample estimates can be improved with additional information. | |
| 650 | 0 | |a Macroeconomics. |0 http://id.loc.gov/authorities/subjects/sh85079443 | |
| 650 | 0 | |a Macroeconomic policy making. | |
| 650 | 0 | |a Macroeconomics |x Econometric models. |0 http://id.loc.gov/authorities/subjects/sh2008107159 | |
| 650 | 0 | |a Macroeconomics |x Mathematical models. |0 http://id.loc.gov/authorities/subjects/sh2008107160 | |
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| 700 | 1 | |a Laxton, Douglas, |e author. |0 http://id.loc.gov/authorities/names/no92032009 | |
| 758 | |i has work: |a Multivariate filter estimation of potential output for the Euro Area and the United States (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGvc6d89RYmHpDm3QjxyQy |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
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| author | Alichi, Ali Bizimana, Olivier Laxton, Douglas |
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| contents | Cover; Table of Contents; Abstract; I. Introduction; II. Potential Output-A Brief Overview of Common Estimation Techniques; III. Methodology; IV. Estimating the Output Gap For the United States; V. Uncertainty in Estimating the Output Gap and Potential; VI. Conclusion; References; Figures; Figure 1. Shocks to the Level and Growth Rate of Potential Output, and to the Output Gap; Figure 2. Output Gap Decomposition; Figure 3. Output gap, Unemployment Gap, Capacity Utilization Gap, and Inflation; Figure 4. 95-Percent Confidence Bands for Estimates of Potential Growth. Figure 5. 95-Percent Confidence Bands for Estimates of Output GapFigure 6. Potential Growth Estimates as the Sample is Extended; Tables; Table 1. Comparison of Results; Table 2. Standard Deviation of Supply and Demand Shocks; Appendix Tables; Table A1. Data Sources; Table A2. Estimated Parameters; Table A3. Calibrated Parameters. |
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| illustrated | Not Illustrated |
| indexdate | 2024-11-27T13:27:50Z |
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| isbn | 9781475598605 1475598602 |
| issn | 1018-5941 ; |
| language | English |
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| series2 | IMF Working Papers, |
| spelling | Alichi, Ali, author. http://id.loc.gov/authorities/names/no2008094019 Multivariate Filter Estimation of Potential Output for the United States / by Ali Alichi [and six others]. [Washington, D.C.] : International Monetary Fund, [2017] 1 online resource (26 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier IMF Working Papers, 1018-5941 ; WP/17/106 Print version record. Cover; Table of Contents; Abstract; I. Introduction; II. Potential Output-A Brief Overview of Common Estimation Techniques; III. Methodology; IV. Estimating the Output Gap For the United States; V. Uncertainty in Estimating the Output Gap and Potential; VI. Conclusion; References; Figures; Figure 1. Shocks to the Level and Growth Rate of Potential Output, and to the Output Gap; Figure 2. Output Gap Decomposition; Figure 3. Output gap, Unemployment Gap, Capacity Utilization Gap, and Inflation; Figure 4. 95-Percent Confidence Bands for Estimates of Potential Growth. Figure 5. 95-Percent Confidence Bands for Estimates of Output GapFigure 6. Potential Growth Estimates as the Sample is Extended; Tables; Table 1. Comparison of Results; Table 2. Standard Deviation of Supply and Demand Shocks; Appendix Tables; Table A1. Data Sources; Table A2. Estimated Parameters; Table A3. Calibrated Parameters. Estimates of potential output are an important component of a structured forecasting and policy analysis system. Using information on capacity utilization, this paper extends the multivariate filter developed by Laxton and Tetlow (1992) and modified by Benes and others (2010), Blagrave and others (2015), and Alichi and others (2015). We show that, although still fairly uncertain, the real-time estimates from this approach are more accurate than estimates constructed from naive univariate statistical filters. The paper presents illustrative estimates for the United States and discusses how the end-of-sample estimates can be improved with additional information. Macroeconomics. http://id.loc.gov/authorities/subjects/sh85079443 Macroeconomic policy making. Macroeconomics Econometric models. http://id.loc.gov/authorities/subjects/sh2008107159 Macroeconomics Mathematical models. http://id.loc.gov/authorities/subjects/sh2008107160 Macroéconomie. Macroéconomie Modèles mathématiques. BUSINESS & ECONOMICS Economics Macroeconomics. bisacsh POLITICAL SCIENCE Economic Conditions. bisacsh Macroeconomics fast Macroeconomics Econometric models fast Macroeconomics Mathematical models fast Bizimana, Olivier, author. http://id.loc.gov/authorities/names/no2015160277 Laxton, Douglas, author. http://id.loc.gov/authorities/names/no92032009 has work: Multivariate filter estimation of potential output for the Euro Area and the United States (Text) https://id.oclc.org/worldcat/entity/E39PCGvc6d89RYmHpDm3QjxyQy https://id.oclc.org/worldcat/ontology/hasWork Print version: Alichi, Ali. Multivariate Filter Estimation of Potential Output for the United States. Washington, D.C. : International Monetary Fund, ©2017 9781475598384 IMF working paper ; WP/17/106. http://id.loc.gov/authorities/names/no89010263 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1519193 Volltext |
| spellingShingle | Alichi, Ali Bizimana, Olivier Laxton, Douglas Multivariate Filter Estimation of Potential Output for the United States / IMF working paper ; Cover; Table of Contents; Abstract; I. Introduction; II. Potential Output-A Brief Overview of Common Estimation Techniques; III. Methodology; IV. Estimating the Output Gap For the United States; V. Uncertainty in Estimating the Output Gap and Potential; VI. Conclusion; References; Figures; Figure 1. Shocks to the Level and Growth Rate of Potential Output, and to the Output Gap; Figure 2. Output Gap Decomposition; Figure 3. Output gap, Unemployment Gap, Capacity Utilization Gap, and Inflation; Figure 4. 95-Percent Confidence Bands for Estimates of Potential Growth. Figure 5. 95-Percent Confidence Bands for Estimates of Output GapFigure 6. Potential Growth Estimates as the Sample is Extended; Tables; Table 1. Comparison of Results; Table 2. Standard Deviation of Supply and Demand Shocks; Appendix Tables; Table A1. Data Sources; Table A2. Estimated Parameters; Table A3. Calibrated Parameters. Macroeconomics. http://id.loc.gov/authorities/subjects/sh85079443 Macroeconomic policy making. Macroeconomics Econometric models. http://id.loc.gov/authorities/subjects/sh2008107159 Macroeconomics Mathematical models. http://id.loc.gov/authorities/subjects/sh2008107160 Macroéconomie. Macroéconomie Modèles mathématiques. BUSINESS & ECONOMICS Economics Macroeconomics. bisacsh POLITICAL SCIENCE Economic Conditions. bisacsh Macroeconomics fast Macroeconomics Econometric models fast Macroeconomics Mathematical models fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85079443 http://id.loc.gov/authorities/subjects/sh2008107159 http://id.loc.gov/authorities/subjects/sh2008107160 |
| title | Multivariate Filter Estimation of Potential Output for the United States / |
| title_auth | Multivariate Filter Estimation of Potential Output for the United States / |
| title_exact_search | Multivariate Filter Estimation of Potential Output for the United States / |
| title_full | Multivariate Filter Estimation of Potential Output for the United States / by Ali Alichi [and six others]. |
| title_fullStr | Multivariate Filter Estimation of Potential Output for the United States / by Ali Alichi [and six others]. |
| title_full_unstemmed | Multivariate Filter Estimation of Potential Output for the United States / by Ali Alichi [and six others]. |
| title_short | Multivariate Filter Estimation of Potential Output for the United States / |
| title_sort | multivariate filter estimation of potential output for the united states |
| topic | Macroeconomics. http://id.loc.gov/authorities/subjects/sh85079443 Macroeconomic policy making. Macroeconomics Econometric models. http://id.loc.gov/authorities/subjects/sh2008107159 Macroeconomics Mathematical models. http://id.loc.gov/authorities/subjects/sh2008107160 Macroéconomie. Macroéconomie Modèles mathématiques. BUSINESS & ECONOMICS Economics Macroeconomics. bisacsh POLITICAL SCIENCE Economic Conditions. bisacsh Macroeconomics fast Macroeconomics Econometric models fast Macroeconomics Mathematical models fast |
| topic_facet | Macroeconomics. Macroeconomic policy making. Macroeconomics Econometric models. Macroeconomics Mathematical models. Macroéconomie. Macroéconomie Modèles mathématiques. BUSINESS & ECONOMICS Economics Macroeconomics. POLITICAL SCIENCE Economic Conditions. Macroeconomics Macroeconomics Econometric models Macroeconomics Mathematical models |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1519193 |
| work_keys_str_mv | AT alichiali multivariatefilterestimationofpotentialoutputfortheunitedstates AT bizimanaolivier multivariatefilterestimationofpotentialoutputfortheunitedstates AT laxtondouglas multivariatefilterestimationofpotentialoutputfortheunitedstates |