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An estimation of the Euro Area potential output with a semi-structural multivariate Hodrick-Prescott filter

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  • Odile Chagny

    (Centre Etudes & Prospective - Groupe ALPHA)

  • Matthieu Lemoine

    (OFCE - Observatoire français des conjonctures économiques (Sciences Po) - Sciences Po - Sciences Po)

Abstract

In this paper, we develop an analytical framework for the estimation of potential output and output gaps for the euro area combining multivariate filtering techniques with the production function approach. The advantage of this methodology lies in the fact that it combines a model based approach to explicit statistical assumptions concerning the estimation of the potential values of the components of the production function. We discuss the production function approach and the main issues raised by this approach. We then present the main empirical studies which have estimated production function based output gaps with multivariate filtering techniques. The production function approach will be implemented with Multivariate Hodrick-Prescott filters (HPMV). The advantage of the multivariate production function approach will also be assessed through using a variety of statistical criteria.

Suggested Citation

  • Odile Chagny & Matthieu Lemoine, 2004. "An estimation of the Euro Area potential output with a semi-structural multivariate Hodrick-Prescott filter," SciencePo Working papers Main hal-00972840, HAL.
    • Handle: RePEc:hal:spmain:hal-00972840
    Note: View the original document on HAL open archive server: https://sciencespo.hal.science/hal-00972840
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    Cited by:

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    2. Marika Karanassou & Hector Sala & Pablo F. Salvador, 2008. "The (Ir)Relevance Of The Nru For Policy Making: The Case Of Denmark," Scottish Journal of Political Economy, Scottish Economic Society, vol. 55(3), pages 369-392, July.
    3. Gian Luigi Mazzi & Frédéric Reynès & Matthieu Lemoine & Paola Veroni, 2008. "Real Time Estimation of Potential Output and Output Gap for the Euro-Area : Comparing Production Function with Unobserved Components and SVAR Approaches," SciencePo Working papers Main hal-01027422, HAL.
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