Estimating U.S. output growth with vintage data in a state-space framework

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Estimating U.S. output growth with vintage data in a state-space framework

Author Info

Richard G. Anderson
Charles S. Gascon

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Abstract

This study uses a state-space model to estimate the "true" unobserved measure of total output in the U.S. economy. The analysis uses the entire history (i.e., all vintages) of selected real-time data series to compute revisions and corresponding statistics for those series. The revision statistics, along with the most recent data vintage, are used in a state-space model to extract filtered estimates of the "true" series. Under certain assumptions, Monte Carlo simulations suggest this framework can improve published estimates by as much as 30 percent, lasting an average of 11 periods. Real-time experiments using a measure of real gross domestic product show improvement closer to 10 percent, lasting for 1 to 2 quarters.

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Publisher Info
Article provided by Federal Reserve Bank of St. Louis in its journal Review.

Volume (Year): (2009)
Issue (Month): Jul ()
Pages: 349-370
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Handle: RePEc:fip:fedlrv:y:2009:i:jul:p:349-370:n:v.91no.4

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Other versions:
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Other versions:
- Orphanides, Athanasios & van Norden, Simon, 2005. "The Reliability of Inflation Forecasts Based on Output Gap Estimates in Real Time," CEPR Discussion Papers 4830, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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Other versions:
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Other versions:
- Anthony Garratt & Kevin Lee & Emi Mise & Kalvinder Shields, 2006. "Real Time Representations of the Output Gap," Birkbeck Working Papers in Economics and Finance 0619, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
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