Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/152616
Authors: 
Rünstler, Gerhard
Year of Publication: 
2002
Series/Report no.: 
ECB Working Paper 182
Abstract: 
The paper investigates real-time output gap estimates for the euro artea obtained from various unobserved components (UOC) models. Based on a state space modelling framework, three criteria are used to evaluate real-time estimates, I.e. standard errors, unbiasedness and conditional inflation forecasts. Real time estimates from univariate moving average filters and from bivariate UOC models based on output and inflation are found to be rather uninformative. Extended models, which employ the information from cyclical indicators and factor inputs, however, improve substantially upon the former models in all criteria. The pessimism on the reliability of real-time output gap estimates expressed in earlier literature may therefore be overstated.
JEL: 
C52
E31
E32
Document Type: 
Working Paper

Files in This Item:
File
Size
754.89 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.