Improving Real-Time Estimates of Output and Inflation Gaps With Multiple-Vintage Models
Improving Real-Time Estimates of Output and Inflation Gaps With Multiple-Vintage Models
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利用多复古模型改进产出和通胀缺口的实时估计
DOI：
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发表时间：
2012
期刊：
影响因子：
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通讯作者：
A. Galvão
中科院分区：
文献类型：
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作者：
Michael P. Clements;A. Galvão
产出缺口和通胀缺口的实时估计与使用事件发生后很长一段时间可用的数据获得的值不同。部分问题在于实时估计所依据的数据随后会被修订。我们发现，数据年份的向量自回归模型提供了对未来观测值和已经发布的观测值的修正后值的预测，能够改善真实的产出和通胀缺口的估计。我们的研究结果表明，根据过去的年份，产出和通胀数据的年度修正在一定程度上是可以预测的。这篇文章有在线补充材料。
Real-time estimates of output gaps and inflation gaps differ from the values that are obtained using data available long after the event. Part of the problem is that the data on which the real-time estimates are based is subsequently revised. We show that vector-autoregressive models of data vintages provide forecasts of post-revision values of future observations and of already-released observations capable of improving estimates of output and inflation gaps in real time. Our findings indicate that annual revisions to output and inflation data are in part predictable based on their past vintages. This article has online supplementary materials.