Multivariate Filter Estimation of Potential Output for the United States

26 Pages Posted: 16 Oct 2017

See all articles by Ali Alichi

Ali Alichi

International Monetary Fund (IMF)

Olivier Bizimana

International Monetary Fund (IMF)

Douglas Laxton

International Monetary Fund (IMF) - Research Department

Kadir Tanyeri

International Monetary Fund (IMF)

Hou Wang

International Monetary Fund (IMF)

Jiaxiong Yao

International Monetary Fund (IMF)

Fan Zhang

International Monetary Fund (IMF)

Date Written: May 2017

Abstract

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 naïve 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.

Keywords: Potential output, Monetary policy, Economic models, United States, Macroeconomic Modeling, Model Construction and Estimation, Monetary Policy (Targets, Instruments, and Effects)

JEL Classification: C51, E31, E52

Suggested Citation

Alichi, Ali and Bizimana, Olivier and Laxton, Douglas and Tanyeri, Kadir and Wang, Hou and Yao, Jiaxiong and Zhang, Fan, Multivariate Filter Estimation of Potential Output for the United States (May 2017). IMF Working Paper No. 17/106, Available at SSRN: https://ssrn.com/abstract=3053189

Ali Alichi (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Olivier Bizimana

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Douglas Laxton

International Monetary Fund (IMF) - Research Department ( email )

700 19th Street NW
Washington, DC 20431
United States

Kadir Tanyeri

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Hou Wang

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Jiaxiong Yao

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Fan Zhang

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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