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Combining Hodrick-Prescott Filtering with a Production Function Approach to Estimate Output Gap

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  • Marta Areosa

Abstract

The proposed methodology combines two of the most important techniques to estimate output gap: the production function approach and the Hodrick-Prescott .ltering. Three main advantages can be derived from this method: (i) it adds some economic structure to a .filtering method, (ii) it can be easily adapted to incorporate new characteristics into the filter and (iii) it simultaneously produces estimates for potential output and its unobservable components.

Suggested Citation

  • Marta Areosa, 2008. "Combining Hodrick-Prescott Filtering with a Production Function Approach to Estimate Output Gap," Working Papers Series 172, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:172
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    File URL: https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps172.pdf
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    Cited by:

    1. Rodrigo Barbone Gonzalez & Joaquim Lima & Leonardo Marinho, 2015. "Business and Financial Cycles: an estimation of cycles’ length focusing on Macroprudential Policy," Working Papers Series 385, Central Bank of Brazil, Research Department.
    2. Alberto Ronchi Neto & Osvaldo Candido, 2020. "Measuring the neutral real interest rate in Brazil: a semi-structural open economy framework," Empirical Economics, Springer, vol. 58(2), pages 651-667, February.
    3. Aaron G. Grech, "undated". "Investigating potential output using the Hodrick-Prescott filter: an application for Malta," CBM Working Papers WP/02/2014, Central Bank of Malta.
    4. Grech, Aaron George, 2013. "Adapting the Hodrick-Prescott Filter for Very Small Open Economies," MPRA Paper 48803, University Library of Munich, Germany.
    5. Silvio Michael de Azevedo Costa, 2016. "Structural Trends and Cycles in a DSGE Model for Brazil," Working Papers Series 434, Central Bank of Brazil, Research Department.

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