This paper examines techniques that have been used to estimate potential output and finds
them wanting. We suggest a simple multivariate-filtering technique that is a generalization of …

This paper develops a simple model for measuring potential output that uses data on
inflation, unemployment, and capacity utilization. We apply the model to 10 countries, in …

As part of the new macroeconomic modelling project at the Reserve Bank of New Zealand,
considerable effort has been directed towards constructing an historical estimate of the …

This paper presents a multivariate (MV) methodology for obtaining measures of excess
demand that can facilitate discussion of monetary policy issues and improve policy …

This article proposes a new method for estimating potential output in which potential real
gross domestic product (GDP) is modeled as an unobserved stochastic trend, and …

Our purpose in this paper is to explain briefly the theory and rationale underlying the
leading, coincident and lagging indicators, describe the more important statistical …

We present algorithms for computing the weights implicitly assigned to observations when
estimating unobserved components, by filtering or smoothing, using a model in state space …

Economists often seek to estimate unobserved variables, representing “equilibrium” or
“expected” values of economic variables, as benchmarks against which observed, realised …

This paper studies how the Hodrick-Prescott filter should be adjusted when changing the
frequency of observations. It complements the results of Baxter and King (1999) with an …

Estimates of potential output are an important ingredient of structured forecasting and policy
analysis. Using information on consensus forecasts, this paper extends the multivariate filter …