This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 298
Type: Contributed
Date/Time: Tuesday, August 3, 2010 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract - #308503
Title: Measuring Output Gap Uncertainty
Author(s): Shaun Vahey*+ and James Mitchell and Anthony Garratt
Companies: ANU and NIESR and Birkbeck College
Address: RSE, Arndt Bldg, ANU , Canberra, International, 0200, Australia
Keywords: output gap ; ensemble forecasting
Abstract:

We propose a methodology for producing density forecasts for the output gap in real time using a large number of vector autoregessions in inflation and output gap measures. Density combination utilizes a linear mixture of experts framework to produce potentially non-Gaussian ensemble densities for the unobserved output gap. In our application, we show that data revisions alter substantially our probabilistic assessments of the output gap using a variety of output gap measures derived from univariate detrending filters. Combining evidence from both linear trends and more flexible univariate detrending filters induces strong multi-modality in the predictive densities for the unobserved output gap. The peaks associated with these two detrending methodologies indicate output gaps of opposite sign for some observations, reflecting the pervasive nature of model uncertainty in our US data.


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