Estimating potential output and the output gap for the euro area: A model-based production function approach

Empirical Economics

Volumn 33, Issue 1, 2007, Pages 85-113

  Proietti, Tommaso ^a   Musso, Alberto ^b   Westermann, Thomas ^b  

^a SAPIENZA UNIVERSITY OF ROME   (Italy)

^b EUROPEAN CENTRAL BANK   (Germany)

Author keywords

Inflation forecasts; Phillips curve; Reliability; Unobserved components

Indexed keywords

EUROPEAN MONETARY UNION; FORECASTING METHOD; INFLATION; MULTIVARIATE ANALYSIS; NUMERICAL MODEL;

EID: 34447121850     PISSN: 03777332     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00181-006-0085-2     Document Type: Article

References (36)

1. Aguiar A, Martins MMF (2005) System estimates of potential output and the NAIRU. Emp Econ 24:373-388
2. Ansley C, Kohn R (1986) Prediction mean square error for state space models with estimated paramaters. Biometrika 73:467-473
3. Apel M, Jansson P (1999) System estimates of potential output and the NAIRU. Empir Econ 24:373-388
4. Busetti F, Harvey AC (2001) Testing or the presence of a random walk in series with structural breaks. J Time Ser Anal 22:127-150
5. Camba-Mendez G, Rodriguez-Palenzuela D (2003) Assessment criteria for output gap estimates. Econ Model 20:529-562
6. Canova F, Hansen BE (1995) Are seasonal patterns constant over time? A test for seasonal stability. J Bus Econ Stat 2:292-349
7. Congressional Budget Office (1995) CBO's method for estimating potential output. CBO Memorandum, Washington, US
8. de Masi P (1997) IMF estimates of potential output: Theory and practice. IMF working paper 177
9. Diebold FX, Mariano RS (1995) Comparing predictive accuracy. J Bus Econ Stat 13:253-263
10. Doornik JA (2001) Ox an object-oriented matrix programming language. Timberlake Consultants Press, London
11. Ehrmann M, Smets F (2003) Uncertain potential output: Implications for monetary policy. J Econ Dyn Control 27:1611-1638
12. Fabiani S, Mestre R (2004) A system approach for measuring the euro area NAIRU. Empir Econ 29:311-341
13. Fagan G, Henry J, Mestre R (2001) An area-wide model (AWM) for the euro area. ECB working paper no. 42
14. Gerlach S, Smets F (1999) Output gaps and monetary policy in the EMU area. Eur Econ Rev 43:801-812
15. Giorno C, Richardson P, Roseveare D, van den Noord P (1995) Estimating potential output, output gaps and structural budget balances. OECD working paper no. 152
16. Gordon RJ (1997) The time-varying NAIRU and its implications for economic policy. J Econ Perspect 11:11-32
17. Hamilton JD (1986) A standard error for the estimated state vector of a state space model. J Econom 33:387-397
18. Harvey AC (1989) Forecasting, structural time series and the Kalman filter. Cambridge University Press, Cambridge
19. Harvey AC, Jäger A (1993) Detrending, stylized facts and the business cycle. J Appl Econom 8:231-247
20. Harvey AC, Trimbur T (2003) General model-based filters for extracting trends and cycles in economic time series. Rev Econ Stat 85:244-255
21. Harvey DI, Leybourne SJ, Newbold P (1997) Testing the equality of prediction mean squared errors. Int J Forecast 13:281-291
22. Hodrick RJ, Prescott EC (1997) Postwar US business cycles: An empirical investigation. J Money Credit Bank 29:1-16
23. Jäger A, Parkinson M (1994) Some evidence on hysteresis in unemployment rates. Eur Econ Rev 38:329-342
24. Koopman SJ, Shepard N, Doornik JA (1999) Statistical algorithms for models in state space using SsfPack 22. Econom J 2:113-166
25. Kuttner KN (1994) Estimating potential output as a latent variable. J Bus Econ Stat 12:361-368
26. Kwiatkowski D, Phillips PCB, Schmidt P, Shin Y (1992) Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root? J Econom 54:159-178
27. Musso A, Westermann T (2005) Assessing potential output growth in the euro area. A growth accounting perspective. ECB occasional paper no. 22
28. Okun A (1962) Potential GNP: Its measurement and significance. In: Proceedings of the business and economic statistics section of the American Statistical Association. Reprinted in Okun A (1970) The political economy of prosperity, pp 132-135. Norton, New York
29. Orphanides A, van Norden S (2002) The unreliability of output gap estimates in real time. Rev Econ Stat 84:569-583
30. Proietti T, Musso A, Westermann T (2002) Estimating potential output and the output gap for the euro area: A model-based production function approach. European University Institute, working paper ECO 2002/09
31. Quah D, Vahey S (1995) Measuring core inflation. Econ J 105:1130-1144
32. Quenneville B, Singh AC (2000) Bayesian prediction mean squared error for state space models with estimated parameters. J Time Ser Anal 21:219-236
33. Rünstler G (2002) The information content of real-time output gap estimates an application to the euro area. ECB working paper no. 182
34. Scott A (2000) A multivariate unobserved components model of cyclical activity. Reserve Bank of New Zealand discussion paper DP2000/02
35. Taylor JB (1999). A historical analysis of monetary policy rules. In: Taylor JB (eds). Monetary policy rules. University of Chicago Press, Chicago, pp. 319-341
36. Willman A (2002) Euro area production function and potential output: A supply side system. ECB working paper no. 153