Chagny, Odile
[Contributor];
Lemoine, Matthieu
[Contributor];
Pelgrin, Florian
[Contributor]
;
European Commission Statistical Office of the European Communities
An assessment of multivariate output gap estimates in the euro area
- [2004 edition]
Description:
This paper assesses the statistical reliability of different measures of the output gap - the multivariate Hodrick-Prescott Filter, the multivariate unobserved components method and the structural vector autoregressive model - in the Euro area. Three criteria are used: the consistency of descriptive statistics, the forecasting performance in terms of inflation and some measures of uncertainty. Our results indicate that these multivariate methods provide some useful information relative to standard univariate models.