Forecasting the Malmquist Productivity Index
The Malmquist Productivity Index (MPI) suggests a convenient way of measuring the productivity change of a given unit between two consequent time periods. Until now, only a static approach for analyzing the MPI was available in the literature. However, this hides a potentially valuable information given by the evolution of productivity over time. In this paper, we introduce a dynamic procedure for forecasting the MPI. We compare several approaches and give credit to a method based on the assumption of circularity. Because the MPI is not circular, we present a new decomposition of the MPI, in which the time-varying indices are circular. Based on that decomposition, a new working dynamic forecasting procedure is proposed and illustrated. To construct prediction intervals of the MPI, we extend the bootstrap method in order to take into account potential serial correlation in the data. We illustrate all the new techniques described above by forecasting the productivityt index of 17 OCDE countries, constructed from their GDP, labor and capital stock.
|Date of creation:||11 Jun 2009|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +33 (0)5 61 12 85 89
Fax: + 33 (0)5 61 12 86 37
Web page: http://www.idei.fr/
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- SIMAR, LÃ©opold & WILSON, Paul, 1996.
"Estimating and bootstrapping malmquist indices,"
CORE Discussion Papers
1996060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Simar, L. & Wilson, P.W., 1999.
"Statistical Inference in Nonparametric Frontier Models: the State of the Art,"
9904, Catholique de Louvain - Institut de statistique.
- Léopold Simar & Paul Wilson, 2000. "Statistical Inference in Nonparametric Frontier Models: The State of the Art," Journal of Productivity Analysis, Springer, vol. 13(1), pages 49-78, January.
- repec:cup:cbooks:9780521453455 is not listed on IDEAS
- Caves, Douglas W & Christensen, Laurits R & Diewert, W Erwin, 1982. "Multilateral Comparisons of Output, Input, and Productivity Using Superlative Index Numbers," Economic Journal, Royal Economic Society, vol. 92(365), pages 73-86, March.
- Simar, L. & Wilson, P.W., 1998.
"Productivity Growth in Industrialized Countries,"
9810, Catholique de Louvain - Institut de statistique.
- Van Bellegem, Sebastien & von Sachs, Rainer, 2004. "Forecasting economic time series with unconditional time-varying variance," International Journal of Forecasting, Elsevier, vol. 20(4), pages 611-627.
- Finn R. Førsund, 2002. "On the circularity of the Malmquist productivity index," ICER Working Papers 29-2002, ICER - International Centre for Economic Research.
- Summers, Robert & Heston, Alan, 1991. "The Penn World Table (Mark 5): An Expanded Set of International Comparisons, 1950-1988," The Quarterly Journal of Economics, MIT Press, vol. 106(2), pages 327-68, May.
- repec:cup:cbooks:9780521586115 is not listed on IDEAS
- repec:cup:cbooks:9780521355643 is not listed on IDEAS
When requesting a correction, please mention this item's handle: RePEc:ide:wpaper:23171. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ()
If references are entirely missing, you can add them using this form.