Multivariate Filter Estimation of Potential Output for the Euro Area and the United States
33 Pages Posted: 3 Feb 2016
Date Written: December 2015
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, inflation, unemployment, gdp, productivity, Model Construction and Estimation, Monetary Policy (Targets, Instruments, and Effects),
JEL Classification: E52, C51, E31
Suggested Citation: Suggested Citation