Ghostbusting: which output gap measure really matters?, Issues 2004-2146
International Monetary Fund, 2004 - Business & Economics - 35 pages
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Appendix assumption autoregressive forecast band-pass filter Billmeier 2004 Blanchard-Quah decomposition Bold estimates indicate BQ FD2-8 NC business cycle classic Phillips curve consistently Corbae and Ouliaris correlations cyclical component cyclical position data revisions Diebold and Mariano Diebold-Mariano test discrete Fourier transform domestic inflationary pressures Econometric economic Euro area European European Commission Finland and France Finland RMSE forecast error France RMSE frequency domain approach gapt Greece RMSE Hodrick-Prescott filter HP filter HPlOOrt PF BQ improve the inflation including for abbreviations inflation forecast exercise Italy RMSE monetary policy natural rate number of observations output gap estimates output gap measures p-value paper parameter uncertainty period PF BQ FD2-8 Phillips curve specification potential output prediction production function approach rate of unemployment sample countries Section IV.D shocks simulated out-of-sample smooth Table Theil's TheU's total factor productivity Ubide unemployment rate univariate forecasting model univariate inflation forecast various output gap wage inflation