Minding the Output Gap: A Hamilton Filter Approach and Updated Estimates for the Brazilian Economy

This paper develops an alternative approach for estimating the potential output and the output gap, intending to serve as a good balance between a simple low data requiring method and a powerful but complex structural approach. We rely on the Hamiltons Regression Filter properties to generate a statistically robust estimator of the potential Gross Domestic Product level which overcomes the problems associated to the Hodrick-Prescott filter and improves the Production Function Approach (PFA). Furthermore, we use this methodology to update the estimates of the potential output and output gap for the Brazilian economy.

Bibliographic Details

Main Author:	Inter-American Development Bank
Other Authors:	José Luiz Rossi
Language:	English
Published:	Inter-American Development Bank
Subjects:	Economy, Development Bank, Potential Output, Output Gap, Gross Domestic Product, Inflation, Debtor Finance, Fiscal Policy, C53 - Forecasting and Prediction Methods • Simulation Methods, C45 - Neural Networks and Related Topics, E17 - Forecasting and Simulation: Models and Applications, Macroeconometrics;Output gap;Potential output;GDP;Brazil,
Online Access:	http://dx.doi.org/10.18235/0004981 https://publications.iadb.org/en/minding-output-gap-hamilton-filter-approach-and-updated-estimates-brazilian-economy
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