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Multivariate Filter Estimation of Potential Output for the United States

Author

Listed:
  • Ali Alichi
  • Olivier Bizimana
  • Douglas Laxton
  • Kadir Tanyeri
  • Hou Wang
  • Jiaxiong Yao
  • Fan Zhang

Abstract

Estimates of potential output are an important component of a structured forecasting and policy analysis system. Using information on capacity utilization, this paper extends the multivariate filter developed by Laxton and Tetlow (1992) and modified by Benes and others (2010), Blagrave and others (2015), and Alichi and others (2015). We show that, although still fairly uncertain, the real-time estimates from this approach are more accurate than estimates constructed from naïve univariate statistical filters. The paper presents illustrative estimates for the United States and discusses how the end-of-sample estimates can be improved with additional information.

Suggested Citation

  • Ali Alichi & Olivier Bizimana & Douglas Laxton & Kadir Tanyeri & Hou Wang & Jiaxiong Yao & Fan Zhang, 2017. "Multivariate Filter Estimation of Potential Output for the United States," IMF Working Papers 17/106, International Monetary Fund.
  • Handle: RePEc:imf:imfwpa:17/106
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    Cited by:

    1. Byron Botha & Franz Ruch & Rudi Steinbach, 2018. "Short-lived supply shocks to potential growth," Working Papers 8605, South African Reserve Bank.
    2. repec:rfa:aefjnl:v:6:y:2019:i:2:p:15-31 is not listed on IDEAS

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