A New Production Function Estimate of the Euro Area Output Gap

被引：7

作者：

Lemoine, Matthieu ^{[1
]}

Mazzi, Gian Luigi ^{[2
]}

Monperrus-Veroni, Paola ^{[1
]}

Reynes, Frederic ^{[1
,3
]}

机构：

[1] Sci Po, OFCE, F-75007 Paris, France

[2] Eurostat Key Indicators European Policies D1, L-2920 Luxembourg, Luxembourg

[3] Vrije Univ Amsterdam, Inst Environm Studies IVM, NL-1081 HV Amsterdam, Netherlands

来源：

JOURNAL OF FORECASTING | 2010年 / 29卷 / 1-2期

关键词：

potential output; production function; state-space models; UNEMPLOYMENT; MODEL;

D O I：

10.1002/for.1157

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We develop a new version of the production function (PF) approach for estimating the output gap of the euro area. Assuming a CES (constant elasticity of substitution) technology, our model does not call for any (often imprecise) measure of the capital stock and improves the estimation of the trend total factor productivity using a multivariate unobserved components model. With real-time data, we assess the approach by comparing it with the Hodrick-Prescott (HP) filter and with a Cobb-Douglas PF approach with common cycle and implemented with a multivariate unobserved components model. Our new PF estimate appears highly concordant with the reference chronology of turning points and has better real-time properties than the univariate HP filter for sufficiently long time horizons. Its inflation forecasting power appears like the other multivariate approach, less favourable than the statistical univariate method. Copyright (C) 2009 John Wiley & Sons. Ltd

引用

页码：29 / 53

页数：25

共 38 条

[1] A system for dating and detecting turning points in the Euro area [J].