1. Suite of models approach and uncertainty ranges
Matúš Senaj
OUTPUT GAP WORKING GROUP WORKSHOP
5 September 2018

2. Short introduction Estimates of Slovak OG
Vintages relevant for fiscal compact available in July and December
Time period starts in 2014

3. A suite of models approach
Combines the information
Different approaches:
Simple arithmetic average - SK
„Mid-Range“ estimate - IE
Model weights

4. A comparison of Slovak OG estimated by different institutions
Estimates of three institutions
European Commission
Ministry of Finance
National Bank

5. A comparison of Slovak OG estimated using different models
Three different models
Hodrick-Prescott filter
MVKF – multivariate Kalman filter
PCA – principal component analysis

6. Robustness/stability of estimates
Let’s compare absolute difference between estimate for year t in ...
JD: December t+1 compared to July t+1
JJ: July t+2 compared to July t+1
LJ: latest vintage compared to July t+1
LD: latest vintage compared to Dec t+1
Years

7. Thank you for your attention