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Data-Driven Learning About Trend Productivity Growth

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Listed:
  • Eiji Goto
  • Jan P.A.M. Jacobs
  • Simon van Norden

Abstract

We investigate the causes of changing productivity growth trend perceptions using a novel state-space framework for statistically efficient estimation of growth trends in the presence of data revision. Uncertainty around contemporary US productivity growth trends has been exacerbated by data revisions that typically occur several years after the initial data release, as well as by publication lags. However, the largest source of revisions in perceived trends comes from future realizations of productivity growth. This underlines the importance of estimation uncertainty in estimates of trend productivity growth.

Suggested Citation

  • Eiji Goto & Jan P.A.M. Jacobs & Simon van Norden, 2025. "Data-Driven Learning About Trend Productivity Growth," CAMA Working Papers 2025-53, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    • Handle: RePEc:een:camaaa:2025-53
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    References listed on IDEAS

    as
    1. Eiji Goto & Jan P.A.M. Jacobs & Tara M. Sinclair & Simon van Norden, 2023. "Employment reconciliation and nowcasting," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(7), pages 1007-1017, November.
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    3. Chad Syverson, 2011. "What Determines Productivity?," Journal of Economic Literature, American Economic Association, vol. 49(2), pages 326-365, June.
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    5. Kahn, James A. & Rich, Robert W., 2007. "Tracking the new economy: Using growth theory to detect changes in trend productivity," Journal of Monetary Economics, Elsevier, vol. 54(6), pages 1670-1701, September.
    6. Kai Carstensen & Felix Kießner & Thies Rossian, 2024. "Estimation of the TFP Gap for the Largest Five EMU Countries," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 20(2), pages 243-296, July.
    7. Koopman, Siem Jan & Harvey, Andrew, 2003. "Computing observation weights for signal extraction and filtering," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1317-1333, May.
    8. Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2024. "GDP Solera: The Ideal Vintage Mix," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 984-997, July.
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    10. De Long, J. Bradford, 1992. "Productivity Growth and Machinery Investment: A Long-Run Look, 1870–1980," The Journal of Economic History, Cambridge University Press, vol. 52(2), pages 307-324, June.
    11. Thomas Laubach & John C. Williams, 2003. "Measuring the Natural Rate of Interest," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1063-1070, November.
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    14. Jan P. A. M. Jacobs & Samad Sarferaz & Jan-Egbert Sturm & Simon van Norden, 2022. "Can GDP Measurement Be Further Improved? Data Revision and Reconciliation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 423-431, January.
    15. Jacobs, Jan P.A.M. & van Norden, Simon, 2011. "Modeling data revisions: Measurement error and dynamics of "true" values," Journal of Econometrics, Elsevier, vol. 161(2), pages 101-109, April.
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    17. S. Borağan Aruoba, 2008. "Data Revisions Are Not Well Behaved," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(2‐3), pages 319-340, March.
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    22. Jacobs, Jan P.A.M. & van Norden, Simon, 2016. "Why are initial estimates of productivity growth so unreliable?," Journal of Macroeconomics, Elsevier, vol. 47(PB), pages 200-213.
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    Full references (including those not matched with items on IDEAS)

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    Keywords

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    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
    • O47 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence

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