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Growth Cycles in XXth Century European Industrial Productivity: Unbiased Variance Estimation in a Time-varying Parameter Model

  • Álvaro Aguiar

    ()

    (CEMPRE, Faculdade de Economia da Universidade do Porto)

  • Manuel M. F. Martins

    ()

    (CEMPRE, Faculdade de Economia da Universidade do Porto)

This note applies the median unbiased estimation of coefficient variance, proposed by Stock and Watson (1998), to the extraction of the time-varying trend growth rate of industrial productivity in fifteen European countries, over most of the XXth Century, by means of an unobservable components univariate decomposition. In addition to the description of the procedure, this illustration is particularly useful in explaining why the method is especially appropriate for comparison of trends growth rates extracted from time series with diverse degrees of variability.

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File URL: http://www.fep.up.pt/investigacao/workingpapers/04.05.06_WP144_Aguiar%20and%20Mota%20Freitas.pdf
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Paper provided by Universidade do Porto, Faculdade de Economia do Porto in its series FEP Working Papers with number 144.

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Length: 20 pages
Date of creation: May 2004
Date of revision:
Handle: RePEc:por:fepwps:144
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  1. Mark W. French, 2001. "Estimating changes in trend growth of total factor productivity: Kalman and H-P filters versus a Markov-switching framework," Finance and Economics Discussion Series 2001-44, Board of Governors of the Federal Reserve System (U.S.).
  2. Roberts John M., 2001. "Estimates of the Productivity Trend Using Time-Varying Parameter Techniques," The B.E. Journal of Macroeconomics, De Gruyter, vol. 1(1), pages 1-32, July.
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