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Growth Cycles in XXth Century European Industrial Productivity: Unbiased Variance Estimation in a Time-varying Parameter Model

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Author Info
Álvaro Aguiar () (CEMPRE, Faculdade de Economia da Universidade do Porto)
Manuel M. F. Martins () (CEMPRE, Faculdade de Economia da Universidade do Porto)
Abstract

This note applies the median unbiased estimation of coefficient variance, proposed by Stock and Watson (1998), to the extraction of the time-varying trend growth rate of industrial productivity in fifteen European countries, over most of the XXth Century, by means of an unobservable components univariate decomposition. In addition to the description of the procedure, this illustration is particularly useful in explaining why the method is especially appropriate for comparison of trends growth rates extracted from time series with diverse degrees of variability.

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Paper provided by Universidade do Porto, Faculdade de Economia do Porto in its series FEP Working Papers with number 144.

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Length: 20 pages
Date of creation: May 2004
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Handle: RePEc:por:fepwps:144

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Keywords: unobservable components model; industrial productivity; growth cycles; Europe.;

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Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
N64 - Economic History - - Manufacturing and Construction - - - Europe: 1913-

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. John M. Roberts, 2001. "Estimates of the Productivity Trend Using Time-Varying Parameter Techniques," The B.E. Journal of Macroeconomics, Berkeley Electronic Press, vol. 0(1). [Downloadable!]
  2. Mark W. French, 2001. "Estimating changes in trend growth of total factor productivity: Kalman and H-P filters versus a Markov-switching framework," Finance and Economics Discussion Series 2001-44, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  3. John M. Roberts, 2001. "Estimates of the productivity trend using time-varying parameter techniques," Finance and Economics Discussion Series 2001-08, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
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Cited by:
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  1. Óscar Afonso & Álvaro Aguiar, 2004. "Comércio Externo e Crescimento da Economia Portuguesa no Século XX," FEP Working Papers 146, Universidade do Porto, Faculdade de Economia do Porto. [Downloadable!]
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