메뉴 건너뛰기




Volumn 25, Issue 1, 2009, Pages 81-102

Real time representation of the UK output gap in the presence of model uncertainty

Author keywords

Model uncertainty; Output gap; Output trends; Probability forecasts; Real time data; Revisions

Indexed keywords


EID: 58949089531     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2008.11.005     Document Type: Article
Times cited : (20)

References (46)
  • 1
    • 58949092812 scopus 로고    scopus 로고
    • Adam, C., & Cobham, D. (2005). Real-time output gaps in the estimation of Taylor rules: A red herring. Mimeo
    • Adam, C., & Cobham, D. (2005). Real-time output gaps in the estimation of Taylor rules: A red herring. Mimeo
  • 2
    • 0002426895 scopus 로고    scopus 로고
    • The real-time predictive content of money for output
    • Amato J.D., and Swanson N.R. The real-time predictive content of money for output. Journal of Monetary Economics 48 (2001) 3-24
    • (2001) Journal of Monetary Economics , vol.48 , pp. 3-24
    • Amato, J.D.1    Swanson, N.R.2
  • 3
    • 0003246268 scopus 로고
    • Signal extraction for nonstationary time series
    • Bell W. Signal extraction for nonstationary time series. Annals of Statistics 12 2 (1984) 646-664
    • (1984) Annals of Statistics , vol.12 , Issue.2 , pp. 646-664
    • Bell, W.1
  • 4
    • 0034372592 scopus 로고    scopus 로고
    • On the derivation of monetary policy shocks: Should we throw the VAR out with the bath water?
    • Brunner A.D. On the derivation of monetary policy shocks: Should we throw the VAR out with the bath water?. Journal of Money, Credit and Banking 32 (2000) 254-279
    • (2000) Journal of Money, Credit and Banking , vol.32 , pp. 254-279
    • Brunner, A.D.1
  • 7
    • 70449089152 scopus 로고    scopus 로고
    • Monetary policy shocks: What have we learned and to what end?
    • Taylor J.B., and Woodford M. (Eds), North-Holland, Amsterdam Elsevier (Chapter 2)
    • Christiano L.J., Eichenbaum M., and Evans C.L. Monetary policy shocks: What have we learned and to what end?. In: Taylor J.B., and Woodford M. (Eds). Handbook of macroeconomics Vol. 1A (1999), North-Holland, Amsterdam Elsevier (Chapter 2)
    • (1999) Handbook of macroeconomics , vol.1 A
    • Christiano, L.J.1    Eichenbaum, M.2    Evans, C.L.3
  • 10
    • 0141888095 scopus 로고    scopus 로고
    • The inflation bias revisited: Theory and some international evidence
    • Cukierman A., and Gerlach S. The inflation bias revisited: Theory and some international evidence. Manchester School 71 3 (2003) 541-565
    • (2003) Manchester School , vol.71 , Issue.3 , pp. 541-565
    • Cukierman, A.1    Gerlach, S.2
  • 11
    • 58949083869 scopus 로고    scopus 로고
    • Cunningham, A., Eklund, J., Jeffery, C., Kapetanios, G., & Labhard, V. (2007). A state space approach to the policymaker's data uncertainty problem. Presented at the Bank of Canada Conference Forecasting short-term economic developments and the role of econometric models. Downloadable http://www.bankofcanada.ca/en/conference_papers/workshop_october2007/papers.html
    • Cunningham, A., Eklund, J., Jeffery, C., Kapetanios, G., & Labhard, V. (2007). A state space approach to the policymaker's data uncertainty problem. Presented at the Bank of Canada Conference Forecasting short-term economic developments and the role of econometric models. Downloadable http://www.bankofcanada.ca/en/conference_papers/workshop_october2007/papers.html
  • 14
    • 1142289557 scopus 로고    scopus 로고
    • Forecast uncertainties in macroeconometric modelling: An application to the UK economy
    • Garratt A., Lee K., Pesaran M.H., and Shin Y. Forecast uncertainties in macroeconometric modelling: An application to the UK economy. Journal of the American Statistical Association 98 464 (2003) 829-838
    • (2003) Journal of the American Statistical Association , vol.98 , Issue.464 , pp. 829-838
    • Garratt, A.1    Lee, K.2    Pesaran, M.H.3    Shin, Y.4
  • 16
    • 33645977799 scopus 로고    scopus 로고
    • UK real-time macro data characteristics
    • Garratt A., and Vahey S.P. UK real-time macro data characteristics. Economic Journal 116 509 (2006) F119-F135
    • (2006) Economic Journal , vol.116 , Issue.509
    • Garratt, A.1    Vahey, S.P.2
  • 17
    • 58949101102 scopus 로고    scopus 로고
    • Harvey, A. C., Mckenzie, C. R, Blake, D., & Desai, M. J. (1983). Irregular data revisions. In A. Zellner (Ed.), Proceedings of the ASA-CENSUS-NBER conferences on applied time series analysis of economic data (pp. 329-347). Washington, D.C
    • Harvey, A. C., Mckenzie, C. R, Blake, D., & Desai, M. J. (1983). Irregular data revisions. In A. Zellner (Ed.), Proceedings of the ASA-CENSUS-NBER conferences on applied time series analysis of economic data (pp. 329-347). Washington, D.C
  • 18
    • 84986397960 scopus 로고
    • Detrending, stylised facts, and the business cycle
    • Harvey A.C., and Jaeger A. Detrending, stylised facts, and the business cycle. Journal of Applied Econometrics 8 3 (1993) 231-247
    • (1993) Journal of Applied Econometrics , vol.8 , Issue.3 , pp. 231-247
    • Harvey, A.C.1    Jaeger, A.2
  • 19
    • 34547814292 scopus 로고    scopus 로고
    • Trends and cycles in economic time series: A Bayesian approach
    • Harvey A.C., Trimbur T.M., and van Dijk H.K. Trends and cycles in economic time series: A Bayesian approach. Journal of Econometrics 140 2 (2007) 618-649
    • (2007) Journal of Econometrics , vol.140 , Issue.2 , pp. 618-649
    • Harvey, A.C.1    Trimbur, T.M.2    van Dijk, H.K.3
  • 23
    • 58949102260 scopus 로고    scopus 로고
    • Jacobs, J., & van Norden, S. (2007). Modelling data revisions: Measurement error and the dynamics of "true" value. CCSO working paper. Univ. of Groningen
    • Jacobs, J., & van Norden, S. (2007). Modelling data revisions: Measurement error and the dynamics of "true" value. CCSO working paper. Univ. of Groningen
  • 24
    • 58949104953 scopus 로고    scopus 로고
    • Kishor, N. K., & Koenig, E. F. (2005). VAR estimation and forecasting when data are subject to revision. Research department working paper 0501. Dallas, TX: Federal Reserve Bank of Dallas
    • Kishor, N. K., & Koenig, E. F. (2005). VAR estimation and forecasting when data are subject to revision. Research department working paper 0501. Dallas, TX: Federal Reserve Bank of Dallas
  • 25
  • 26
    • 13844267776 scopus 로고    scopus 로고
    • On the sub-optimality of the Hodrick-Prescott filter
    • Mise E., Kim T.-H., and Newbold P. On the sub-optimality of the Hodrick-Prescott filter. Journal of Macroeconomics 27 1 (2005) 53-67
    • (2005) Journal of Macroeconomics , vol.27 , Issue.1 , pp. 53-67
    • Mise, E.1    Kim, T.-H.2    Newbold, P.3
  • 27
    • 58949104954 scopus 로고    scopus 로고
    • Mise, E., Kim, T. -H., & Newbold, P. (2005b). Correction of the distortionary end-effect of the Hodrick-Prescott filter: Application. Mimeo. Downloadable http://www.le.ac.uk/economics/staff/em92.html
    • Mise, E., Kim, T. -H., & Newbold, P. (2005b). Correction of the distortionary end-effect of the Hodrick-Prescott filter: Application. Mimeo. Downloadable http://www.le.ac.uk/economics/staff/em92.html
  • 28
    • 58949101665 scopus 로고    scopus 로고
    • Orphanides, A. (1998). Monetary policy evaluation with noisy information. Board of Governors of the Federal Reserve System, October
    • Orphanides, A. (1998). Monetary policy evaluation with noisy information. Board of Governors of the Federal Reserve System, October
  • 29
    • 0002925890 scopus 로고    scopus 로고
    • Monetary policy rules based on real-time data
    • Orphanides A. Monetary policy rules based on real-time data. American Economic Review 91 (2001) 964-985
    • (2001) American Economic Review , vol.91 , pp. 964-985
    • Orphanides, A.1
  • 30
  • 32
    • 0036641037 scopus 로고    scopus 로고
    • The data measurement process for UK GNP: Stochastic trends, long memory and unit roots
    • Patterson K.D. The data measurement process for UK GNP: Stochastic trends, long memory and unit roots. Journal of Forecasting 21 (2002) 245-264
    • (2002) Journal of Forecasting , vol.21 , pp. 245-264
    • Patterson, K.D.1
  • 33
    • 0000903879 scopus 로고
    • Data revisions and the expenditure components of GDP
    • Patterson K.D., and Heravi S.M. Data revisions and the expenditure components of GDP. Economic Journal 101 (1991) 887-901
    • (1991) Economic Journal , vol.101 , pp. 887-901
    • Patterson, K.D.1    Heravi, S.M.2
  • 34
    • 0005721690 scopus 로고
    • Are different vintages of data on the components of GDP co-integrated? Some evidence for the United Kingdom
    • Patterson K.D., and Heravi S.M. Are different vintages of data on the components of GDP co-integrated? Some evidence for the United Kingdom. Economic Letters 35 (1991) 409-413
    • (1991) Economic Letters , vol.35 , pp. 409-413
    • Patterson, K.D.1    Heravi, S.M.2
  • 35
    • 58949083868 scopus 로고    scopus 로고
    • Pesaran, M. H., & Zaffaroni, P. (2004). Model averaging and value at risk based evaluation of large multi asset volatility models for risk management. Mimeo. Downloadable http://www.econ.cam.ac.uk/faculty/pesaran
    • Pesaran, M. H., & Zaffaroni, P. (2004). Model averaging and value at risk based evaluation of large multi asset volatility models for risk management. Mimeo. Downloadable http://www.econ.cam.ac.uk/faculty/pesaran
  • 36
    • 0001852143 scopus 로고    scopus 로고
    • Interest rate rules in an estimated sticky price model
    • Taylor J.B. (Ed), University of Chicago Press, Chicago
    • Rotemberg J., and Woodford M. Interest rate rules in an estimated sticky price model. In: Taylor J.B. (Ed). Monetary policy rules (1999), University of Chicago Press, Chicago 57-119
    • (1999) Monetary policy rules , pp. 57-119
    • Rotemberg, J.1    Woodford, M.2
  • 37
    • 58949095969 scopus 로고    scopus 로고
    • Early estimates of GDP: Information content and forecasting methods
    • Skipper H. Early estimates of GDP: Information content and forecasting methods. Economic Trends 617 April (2005) 26-35
    • (2005) Economic Trends , vol.617 , Issue.April , pp. 26-35
    • Skipper, H.1
  • 38
    • 58949103122 scopus 로고    scopus 로고
    • Statistics Commission (2004). Revisions to economic statistics: The mitchell report. Report no. 17. Vols. 1-3, April 2004
    • Statistics Commission (2004). Revisions to economic statistics: The mitchell report. Report no. 17. Vols. 1-3, April 2004
  • 39
    • 0000076932 scopus 로고
    • New indexes of coincident and leading economic indicators
    • Stock J.H., and Watson M.W. New indexes of coincident and leading economic indicators. NBER Macroeconomic Annuals 4 (1989) 351-393
    • (1989) NBER Macroeconomic Annuals , vol.4 , pp. 351-393
    • Stock, J.H.1    Watson, M.W.2
  • 40
    • 58949099554 scopus 로고    scopus 로고
    • Stone, M., & Weeks, M. (2001). Systemic financial crises, balance sheets and model uncertainty. IMF working paper 01/162
    • Stone, M., & Weeks, M. (2001). Systemic financial crises, balance sheets and model uncertainty. IMF working paper 01/162
  • 41
    • 0036260736 scopus 로고    scopus 로고
    • Inflation targeting: should it be modelled as an instrument rule or a target rule?
    • Svensson L.E.O. Inflation targeting: should it be modelled as an instrument rule or a target rule?. European Economic Review 46 (2001) 771-780
    • (2001) European Economic Review , vol.46 , pp. 771-780
    • Svensson, L.E.O.1
  • 42
    • 0042225083 scopus 로고    scopus 로고
    • What is wrong with Taylor rules? Using judgement in monetary policy through targeting rules
    • Svensson L.E.O. What is wrong with Taylor rules? Using judgement in monetary policy through targeting rules. Journal of Economic Literature 41 (2002) 426-477
    • (2002) Journal of Economic Literature , vol.41 , pp. 426-477
    • Svensson, L.E.O.1
  • 43
    • 58949101667 scopus 로고    scopus 로고
    • van Norden, S. (2002). Filtering for current analysis. Bank of Canada working paper 2002-28
    • van Norden, S. (2002). Filtering for current analysis. Bank of Canada working paper 2002-28
  • 44
    • 0043227270 scopus 로고    scopus 로고
    • Speed limit policies: The output gap and optimal monetary policy
    • Walsh C.E. Speed limit policies: The output gap and optimal monetary policy. American Economic Review 93 (2003) 265-278
    • (2003) American Economic Review , vol.93 , pp. 265-278
    • Walsh, C.E.1
  • 45
    • 0002980380 scopus 로고
    • Univariate detrending methods with stochastic trends
    • Watson M.W. Univariate detrending methods with stochastic trends. Journal of Monetary Economics 43 (1986) 49-75
    • (1986) Journal of Monetary Economics , vol.43 , pp. 49-75
    • Watson, M.W.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.