Estimating Potential Output And The Output Gap For Brazil
AbstractThis paper aims to estimate output gap for Brazilian economy through di.erents methodolies. We use traditional univariate techniques and propose a new semi-estructural methodology that combines HP filtering and the production function approach. In order to compare the di.erent potential output estimates, we use a Phillips curve to predict free price inflation and a rolling forecast experiment as a test of forecast accuracy. Our results shows that the forecasts produced by the Local level and Watson models are even more inaccurate than those generated by the simplest univariate models. The main evidence is that the Beveridge-Nelson methodology outperforms all the models at all forecast horizons.
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Bibliographic InfoPaper provided by ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] in its series Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32th Brazilian Economics Meeting] with number 041.
Date of creation: 2004
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Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
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