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Japan’s output gap estimation and ℓ 1 trend filtering

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Abstract

This paper estimates Japan’s output gap using the recently developed ℓ 1 trend filter, which is an alternative to the popular Hodrick–Prescott (HP) filter. This new filter provides a piecewise linear trend line, which means it possibly provides better output gap estimates than the HP filter does for an economy such as Japan that has experienced some structural breaks.

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Authors and Affiliations

  1. Department of Economics, Hiroshima University, 1-2-1 Kagamiyama, Higashi-Hiroshima, 739-8525, Japan

    Hiroshi Yamada

  2. Graduate School of Social Sciences, Hiroshima University, 1-2-1 Kagamiyama, Higashi-Hiroshima, 739-8525, Japan

    Lan Jin

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  1. Hiroshi Yamada
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  2. Lan Jin
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Correspondence to Hiroshi Yamada.

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Yamada, H., Jin, L. Japan’s output gap estimation and ℓ 1 trend filtering. Empir Econ 45, 81–88 (2013). https://doi.org/10.1007/s00181-012-0625-x

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  • DOI: https://doi.org/10.1007/s00181-012-0625-x

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