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The End-of-Sample Problem in Output Gap Estimates

Listed author(s):
  • Arturo Antón Sarabia


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

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.

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Article provided by in its journal Economia Mexicana NUEVA EPOCA.

Volume (Year): XIX (2010)
Issue (Month): 1 (January-June)
Pages: 5-29

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Handle: RePEc:emc:ecomex:v:19:y:2010:i:1:p:5-29
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