Posted

December 18, 2015 10:42:01 PM

Date

2015-12

Author

Ali Alichi, Olivier Bizimana, Silvia Domit, Emilio Fernandez Corugedo, Douglas Laxton, Kadir Tanyeri, Hou Wang, and Fan Zhang

Affiliation

Research Department, IMF

Title

Multivariate Filter Estimation of Potential Output for the Euro Area and the United States

Summary /
Abstract

Estimates of potential output are an important component of a structured forecasting and policy analysis system. Using information on consensus forecasts, this paper extends the multivariate filter developed by Laxton and Tetlow (1992) and modified by Benes and others (2010) and Blagrave and others (2015). We show that, although still fairly uncertain, the real time estimates from this approach are more accurate relative to those of naïve univariate statistical filters. The paper presents estimates for the euro area and the United States and discusses how the filtered estimates at the end of the sample period can be improved with additional information.

Keywords

Macroeconomic Modeling, Potential Output

URL

http://www.imf.org/external/pubs/ft/wp/2015/wp15253.pdf

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