Garratt, Anthony; Mitchell, James; Vahey, Shaun P. - Crawford School of Public Policy, Australian National … - 2011
We propose a methodology to gauge the uncertainty in output gap nowcasts across a large number of commonly …-deployed vector autoregressions in US inflation and various measures of the output gap. Our approach constructs ensemble nowcast …, in contrast to those from a univariate autoregressive benchmark. The ensemble nowcast densities for the output gap are …