E2 - Macroeconomics: Consumption, Saving, Production, Employment, and Investment

• A Simple Multivariate Filter for the Measurement of Potential Output

  Technical Report No. 59 Douglas Laxton, Robert Tetlow

  This paper examines techniques that have been used to estimate potential output and finds them wanting. We suggest a simple multivariate-filtering technique that is a generalization of the Hodrick-Prescott univariate filter. In univariate filters, only information about a variable itself is used in eliminating noise in order to obtain an estimate of the underlying trend. […]

  Content Type(s): Staff research, Technical reports Topic(s): Potential output JEL Code(s): C, C1, C15, E, E2