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The End-of-Sample Problem in Output Gap Estimates

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  • Arturo Antón Sarabia

    () (Profesor-investigador, División de Economía, Centro de Investigación y Docencia Económicas (CIDE), México, D.F.)

Abstract

This 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.

Suggested Citation

  • Arturo Antón Sarabia, 2010. "The End-of-Sample Problem in Output Gap Estimates," Economía Mexicana NUEVA ÉPOCA, , vol. 0(1), pages 5-29, January-J.
  • Handle: RePEc:emc:ecomex:v:19:y:2010:i:1:p:5-29
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    File URL: http://www.economiamexicana.cide.edu/num_anteriores/XIX-1/01.EM.ArturoAntonEM(5-29).pdf
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    Keywords

    GDP trend; output gap; end-of-sample problem; Mexico.;

    JEL classification:

    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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