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Estimates of the productivity trend using time-varying parameter techniques

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  • John M. Roberts

Abstract

In the second half of the 1990s, U.S. productivity growth moved up to rates not seen in several decades. In this paper, I use time-varying parameter techniques to isolate trend from cyclical movements in productivity and to obtain an estimate of the trend rate of productivity growth. I examine models both with and without an explicit role for capital accumulation. I find that in the models without an explicit role for capital accumulation, trend productivity growth is estimated to have moved up from around 1-1/2 percent in the period from the early 1970s to the mid 1990s, to about 2-1/2 percent by the final observation used in this paper, the second quarter of 2000. I find that if I allow for an explicit role for capital accumulation, the recent pace of trend productivity growth is even higher, at around 3 percent.

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  • 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.).
    • Handle: RePEc:fip:fedgfe:2001-08
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    References listed on IDEAS

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    1. Watson, Mark W., 1986. "Univariate detrending methods with stochastic trends," Journal of Monetary Economics, Elsevier, vol. 18(1), pages 49-75, July.
    2. Peter K. Clark, 1987. "The Cyclical Component of U. S. Economic Activity," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 102(4), pages 797-814.
    3. Stephen D. Oliner & Daniel E. Sichel, 2000. "The Resurgence of Growth in the Late 1990s: Is Information Technology the Story?," Journal of Economic Perspectives, American Economic Association, vol. 14(4), pages 3-22, Fall.
    4. Kuttner, Kenneth N, 1994. "Estimating Potential Output as a Latent Variable," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 361-368, July.
    5. Braun, Steven N, 1990. "Estimation of Current-Quarter Gross National Product by Pooling Preliminary Labor-Market Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(3), pages 293-304, July.
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    Keywords

    Productivity; Econometric models;

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