The Unreliability of Output-Gap Estimates in Real Time

By Athanasios Orphanides, S. van Norden. Review of Economics and Statistics, 2002

448 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/01cf2f4d8de3ecd72f07865072f9072adfc245b5

Citations in the corpus

• The quest for prosperity without inflation (2003, unknown): “Orphanides and van Norden (1999) detail the pervasiveness of the output gap measurement problem across alternative estimation methods.”
• Out-of-sample exchange rate predictability with Taylor rule fundamentals (2009, unknown): “define potential output using “quasi-real time” trends which, although using revised data, are updated each period so that ex-post data is not used to construct the trends.4 Orphanides and van Norden (2002) , using a”
• Markov-switching dynamic factor models in real time (2018, unknown): “u1t = b1u1t 1 + :::+ bm2u1t m2 + u1 t ; (30) vjt = cj1vjt 1 + :::+ cjm3vjt m3 + vj t ; (31)”
• A comparison of forecast performance between federal reserve staff forecasts, simple reduced‐form models, and a DSGE model (2010, unknown): “16 The result that Edo (or AR(2) models) have similar or lower “real-time” out-of-sample RMSEs for many real activity measures may be surprising, especially at short horizons, where the Federal Reserve staff devote significant resources to assessing near-term developments (see Romer and Romer [2000]”