Reliable Real-Time Output Gap Estimates Based on a Modified Hamilton Filter
基于改进 Hamilton 滤波器的可靠实时产出缺口估计
We propose a simple modification of Hamilton’s time series filter that yields reliable and economically meaningful real-time output gap estimates. The original filter relies on 8 quarter ahead forecast errors of a simple autoregression of real GDP. While this approach yields a cyclical component that is hardly revised with new incoming data due to the one-sided filtering approach, it does not cover typical business cycle frequencies evenly, but mutes short and amplifies…