The End-of-Sample Problem in Output Gap Estimates
AbstractThis paper evaluates to what extent the end-of-sample problem inherent to the Hodrick-Prescott (HP) filter may be ameliorated when estimating the output gap. For that purpose, the filter of St-Amant and van Norden (1997) is proposed using Mexican data under both univariate and multivariate methods. As a reference, the filter of Christiano and Fitzgerald (2003) and a simple linear trend method are also used. On average, the results suggest that both the univariate method of St-Amant and van Norden and the linear trend method may significantly decrease the end-of-sample problem of the HP filter. These results are used to interpret the conduct of monetary policy in Mexico during 2001-2002.
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Bibliographic InfoArticle provided by in its journal Economia Mexicana NUEVA EPOCA.
Volume (Year): XIX (2010)
Issue (Month): 1 (January-June)
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Find related papers by JEL classification:
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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