Unraveling Trend and Stationary Components of Total Factor Productivity
AbstractWe propose a methodology to analyze the dynamic features of total factor productivity (TFP). Factor efficiency is assumed to evolve according to an unobserved component model which has the form of a dynamic version of factor analysis and which nests most of the specifications for technology shocks used in the literature. We show under which conditions the processes generating the components can be identified from measurements of TFP only. We also discuss how additional information on the technology shocks can be obtained from the factor demand equations associated with the production technology. The methodology is applied to quarterly data for the manufacturing industry in the Netherlands 1971.1-1990.IV. Technology is found to be driven by a stochastic trend with a first order moving average part. This finding is similar to results obtained by Lippi and Reichlin (1994) among others; The findings for TFP corroborate earlier findings for the dynamic features of technology in labor and cpaital demand equations for the manufacturing industry in the Netherlands.
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Bibliographic InfoArticle provided by ENSAE in its journal Annals of Economics and Statistics.
Volume (Year): (1995)
Issue (Month): 39 ()
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- Eberhardt, Markus & Teal, Francis, 2009.
"Econometrics for Grumblers: A New Look at the Literature on Cross-Country Growth Empirics,"
15813, University Library of Munich, Germany.
- Markus Eberhardt & Francis Teal, 2011. "Econometrics For Grumblers: A New Look At The Literature On Cross‐Country Growth Empirics," Journal of Economic Surveys, Wiley Blackwell, vol. 25(1), pages 109-155, 02.
- Francis Teal & Markus Eberhardt, 2009. "Econometrics for Grumblers: A New Look at the Literature on Cross-Country Growth Empirics," Economics Series Working Papers CSAE WPS/2009-07, University of Oxford, Department of Economics.
- Markus Eberhardt & Francis Teal, 2009. "Econometrics for Grumblers: A New Look at the Literature on Cross-Country Growth Empirics," CSAE Working Paper Series 2009-07, Centre for the Study of African Economies, University of Oxford.
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