Real time representation of the UK output gap in the presence of model uncertainty

摘要: We undertake an empirical analysis of the UK output gap using real-time data and approach that accommodates, in a coherent way, three types uncertainty when measuring gap. These are model (associated with choice de-trending technique), estimation (with given model) measurement reliability data). The employs VAR models, along Bayesian-style ‘model averaging’ procedures, to jointly explain forecast measures realisations series. A comprehensive representation associated uncertainties provided real time by probability forecasts over 1961q2–2005q4.