A Simple Multivariate Filter for Estimating Potential Output

Estimates of potential output are an important ingredient of structured forecasting and policy analysis. Using information on consensus forecasts, this paper extends the multivariate filter developed by Benes and others (2010). Although the estimates in real time are more robust relative to those of...

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Bibliographic Details
Main Author: Blagrave, Patrick
Other Authors: Garcia-Saltos, Roberto, Laxton, Douglas, Zhang, Fan
Format: eBook
Language:English
Published: Washington, D.C. International Monetary Fund 2015
Series:IMF Working Papers
Online Access:
Collection: International Monetary Fund - Collection details see MPG.ReNa
Description
Summary:Estimates of potential output are an important ingredient of structured forecasting and policy analysis. Using information on consensus forecasts, this paper extends the multivariate filter developed by Benes and others (2010). Although the estimates in real time are more robust relative to those of naive statistical filters, there is still significant uncertainty surrounding the estimates. The paper presents estimates for 16 countries and provides an example of how the filtered estimates at the end of the sample period can be improved with additional information
Physical Description:30 pages
ISBN:9781475565133