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The production function approach to the Belgian output gap, estimation of a multivariate structural time series model

  • Philippe Moës

A multivariate structural time series model is applied to the factor inputs of a production function to estimate the Belgian output gap. The number of independent cycles and the frequencies are not restricted a priori. Phase shifts are introduced to allow for leads and lags. Over 1983-2004, a 3.5 years periodicity is found in the cycles. 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. Phase shifts are significant, with hours leading by as much as 3 quarters and capacity utilization lagging.

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Article provided by ULB -- Universite Libre de Bruxelles in its journal Brussels economic review.

Volume (Year): 49 (2006)
Issue (Month): 1 ()
Pages: 59-91

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Handle: RePEc:bxr:bxrceb:y:2006:v:49:i:1:p:59-89
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