The (un)reliability of real-time output gap estimates with revised data |
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| Affiliation: | 1. Department of Economics, Appalachian State University, Boone, NC 28608-2037, United States;2. Department of Economics, University of Houston, Houston, TX 77204-5882, United States;1. Department of Economics, Universidad Jaume I, Spain;2. Department of Applied Economics II, University of Valencia, Spain;1. China Institute for Actuarial Science, Central University of Finance and Economics, Beijing 100081, PR China;2. School of Management, University of China Academy of Sciences, Beijing 100190, PR China;3. Department of Applied Finance and Actuarial Studies, Faculty of Business and Economics, Macquarie University, Sydney, NSW 2109, Australia |
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| Abstract: | This paper investigates the differences between real-time and ex-post output gap estimates using a newly-constructed international real-time dataset over the period from 1973:Q1 to 2012:Q3. We extend the findings in Orphanides and van Norden (2002) for the United States that the use of ex-post information in calculating potential output, not the data revisions themselves, is the major cause of the difference between real-time and ex-post output gap estimates to nine additional OECD countries. The results are robust to the use of linear, quadratic, Hodrick–Prescott, Baxter–King, and Christiano–Fitzgerald detrending methods. By using quasi real-time methods, reliable real-time output gap estimates can be constructed with revised data. |
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