Arbeitspapier
Estimating the Output Gap in Real Time: A Factor Model Approach
An approximate dynamic factor model can substantially improve the reliability of real time output gap estimates. The model extracts a common component from macroeconomic indicators, which reduces errors in the gap due to data revisions. The model's ability to handle the unbalanced arrival of data, also yields favorable nowcasting properties and thus starting conditions for the filtering of data into trend and deviations from trend. Combined with the method of augmenting data with forecasts prior to filtering, this greatly reduces the end-of-sample imprecision in the gap estimate. The increased precision has economic significance for real time policy decisions.
- ISBN
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978-82-7553-477-2
- Language
-
Englisch
- Bibliographic citation
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Series: Working Paper ; No. 2008/23
- Classification
-
Wirtschaft
Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
Forecasting Models; Simulation Methods
Monetary Policy
Central Banks and Their Policies
- Subject
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output gap
real time analysis
monetary policy
forecasting
factor model
- Event
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Geistige Schöpfung
- (who)
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Aastveit, Knut Are
Trovik, Tørres G.
- Event
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Veröffentlichung
- (who)
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Norges Bank
- (where)
-
Oslo
- (when)
-
2008
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Aastveit, Knut Are
- Trovik, Tørres G.
- Norges Bank
Time of origin
- 2008
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