Estimating the output gap using business survey data : a bivariate structural time series model for the German economy

Gebhard Flaig; Claudia Ploetscher

This paper deals with the estimation of the output gap. We use uni- and bivariate unobserved components models in order to decompose the observed German GDP-series into trend, cycle and seasonal components. The results show that using the ifo business assessment variable as an indicator for the cycle the estimation of the output gap is much more precise and out-of-sample forecasts exhibit smaller prediction errors.

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Year of publication:	2000
Authors:	Flaig, Gebhard ; Plötscher, Claudia
Publisher:	München : CESifo
Subject:	output gap \| unobserved component models \| survey data \| Zeitreihenanalyse \| Time series analysis \| Deutschland \| Germany \| Frühindikator \| Leading indicator \| Konjunktur \| Business cycle \| Schätzung \| Estimation \| Kapazitätsauslastung \| Capacity utilization \| Produktionspotenzial \| Potential output \| Bruttoinlandsprodukt \| Gross domestic product \| Dekompositionsverfahren \| Decomposition method \| Zustandsraummodell \| State space model