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Structural Time Series Modelling of Capacity Utilisation

Author

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  • Proietti, Tommaso

Abstract

In this paper we introduce a structural non-linear time series model for joint estimation of capacity and its utilisation, thereby providing the statistical underpinnings to a measurement problem that has received ad hoc solutions, often underlying arbitrary assumptions. The model we propose is a particular growth model subject to a saturation level which varies over time according to a stochastic process specified a priori. A bivariate extension is discussed which is relevant when survey based estimates of utilization rates are available. Illustrations are provided with respect to the US and the Italian industrial production.

Suggested Citation

  • Proietti, Tommaso, 1999. "Structural Time Series Modelling of Capacity Utilisation," MPRA Paper 62621, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:62621
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    File URL: https://mpra.ub.uni-muenchen.de/62621/1/MPRA_paper_62621.pdf
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    References listed on IDEAS

    as
    1. Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393.
    2. 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.
    3. Evans, George W, 1989. "Output and Unemployment Dynamics in the United States: 1950-1985," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(3), pages 213-237, July-Sept.
    4. Alain DeSerres & Alain Guay & Pierre St-Amant, "undated". "Estimating and Projecting Potential Output Using Structural VAR Methodology: The Case of the Mexican Economy," Staff Working Papers 95-2, Bank of Canada.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Structural Time Series Models; Nonlinear models; Extended Kalman Filter; Interpolation;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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