Assessing uncertainty of output gap estimates: Evidence from Visegrad countries
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F22%3A00124873" target="_blank" >RIV/00216224:14560/22:00124873 - isvavai.cz</a>
Result on the web
<a href="https://www.sciencedirect.com/science/article/pii/S026499932200236X" target="_blank" >https://www.sciencedirect.com/science/article/pii/S026499932200236X</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.econmod.2022.105994" target="_blank" >10.1016/j.econmod.2022.105994</a>
Alternative languages
Result language
angličtina
Original language name
Assessing uncertainty of output gap estimates: Evidence from Visegrad countries
Original language description
The reliability of output gap estimates is a crucial factor for the successful implementation of economic policy. We evaluate the robustness and stability of output gap estimates while comparing structural and non-structural techniques, using recursive estimates and alternative stability indicators. Our results provide evidence that some structural approaches outperform other available methods. Structural approaches exhibit a higher order of stability. Especially the methods based on the Beveridge-Nelson decomposition outperform the other structural and non-structural methods. The stability of structural approaches increases as new data becomes available. Moreover, output gap uncertainty diminishes during the positive business cycle phases, and structural approaches offer better overall stability performance and exhibit more stable concordance of these estimates. Our results are robust to alternative prior density settings and reveal similar output gap uncertainty patterns for the Visegrad countries, the euro area, and the United States.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50202 - Applied Economics, Econometrics
Result continuities
Project
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Continuities
S - Specificky vyzkum na vysokych skolach
Others
Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
ECONOMIC MODELLING
ISSN
0264-9993
e-ISSN
1873-6122
Volume of the periodical
116
Issue of the periodical within the volume
November
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
25
Pages from-to
1-25
UT code for WoS article
000859457400009
EID of the result in the Scopus database
2-s2.0-85136630683