Research Discussion Paper – RDP 9809 Estimating Output Gaps

Contents

• Introduction
• Methods of Estimating the Output Gap
• An Assessment of Estimates of the Output Gap
• Conclusion
• Appendix A: The Equations in the State-Space Model
• Appendix B: Data Description and Sources
• References

I am grateful to many colleagues at the Reserve Bank for helpful comments. I am particularly indebted to Luci Ellis and Geoffrey Shuetrim for letting me use, and providing me with excellent explanations of, their respective programs for the multivariate HP filter and the state-space model estimated using a Kalman filter. All errors, however, are mine. The views in this paper are my own and do not necessarily reflect those of the Reserve Bank of Australia.