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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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File URL: http://www.fep.up.pt/investigacao/workingpapers/04.05.06_WP144_Aguiar%20and%20Mota%20Freitas.pdf
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Bibliographic Info

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
Date of revision:
Handle: RePEc:por:fepwps:144

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

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References

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  1. 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.).
  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.).
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Cited by:
  1. Álvaro Aguiar & Manuel M. F. Martins, 2004. "O Crescimento da Produtividade da Indústria Portuguesa no Século XX," FEP Working Papers 145, Universidade do Porto, Faculdade de Economia do Porto.
  2. 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.

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