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The production function approach to the Belgian output gap, Estimation of a Multivariate Structural Time Series Model

机译:比较产出缺口的生产函数方法,多元结构时间序列模型的估计

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摘要

A multivariate structural time series model is applied to the factor inputs of a production function (or components thereof) to estimate the Belgian output gap. The usefulness of capacity utilization is also investigated but the variable is not given a prominent status. The number of independent cycles - there may be more than one - and the frequencies retained in the cycles are not restricted a priori. To allow for leads and lags between variables, phase shifts ue0 la Rufcnstler are introduced at a later stage. Additivity of leads and lags is not imposed. Over 1983-2004, a 3.5 years periodicity is found in the cycles. At that periodicity, the cycles in the participation and unemployment rates are negligible. Two independent cycles hide behind the cycles of the other variables: hours, TFP and capacity utilization. A common cycle restriction is rejected, even allowing for idiosyncratic cycles. The cycles present in the whole data set cannot be subsumed in a single measure such as capacity utilization. Phase shifts are significant, with hours leading by as much as 3 quarters and capacity utilization lagging but additivity of leads and lags is rejected. The resulting output gap has much in common with the NBB business survey indicator.
机译:将多元结构时间序列模型应用于生产函数(或其组成部分)的要素输入,以估计比利时的产出缺口。还研究了容量利用的有用性,但没有给变量以突出的地位。独立循环的数量-可能不止一个-并且循环中保留的频率不受先验限制。为了允许变量之间的超前和滞后,在以后的阶段引入相移 ue0 la R ufcnstler。不施加超前和滞后的可加性。在1983-2004年,周期为3.5年。以这种周期性,参与率和失业率的周期可以忽略不计。其他变量的周期后面有两个独立的周期:小时,TFP和产能利用率。拒绝通用周期限制,甚至允许特异周期。整个数据集中存在的周期不能归纳为单个指标,例如容量利用率。相移非常重要,小时数最多可领先四分之三,容量利用率滞后,但超前和滞后的可加性却被拒绝。由此产生的产出缺口与NBB商业调查指标有很多共同点。

著录项

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    Mouebs Philippe;

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  • 年度 2006
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  • 原文格式 PDF
  • 正文语种 eng
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