IDEAS home Printed from https://ideas.repec.org/a/dug/actaec/y2014i1p148-159.html
   My bibliography  Save this article

The Kalman Filter Approach for Estimating the Natural Unemployment Rate in Romania

Author

Listed:
  • Mihaela Simionescu

    (Romanian Academy- Institute for Economic Forecasting)

Abstract

The aim of this research is to determine the monthly natural rate of unemployment during the third quarter of 2013 in Romania. The Phillips curve approach is not valid for the Romanian economy, but Kalman filter is a suitable approach for computing the natural rate of unemployment. We make the assumption that the cyclical component follows a random walk. Predictions were made for the unemployment rate in Romania using Kalman approach during July-September 2013 and on this horizon an insignificant decrease was observed from a month to another. A value of 5.85% is expected for unemployment rate in Romania in September 2013.

Suggested Citation

  • Mihaela Simionescu, 2014. "The Kalman Filter Approach for Estimating the Natural Unemployment Rate in Romania," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 10(1), pages 148-159, February.
    • Handle: RePEc:dug:actaec:y:2014:i:1:p:148-159
    as

    Download full text from publisher

    File URL: http://journals.univ-danubius.ro/index.php/oeconomica/article/view/2146/2068
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Sven Schreiber, 2012. "Estimating the natural rate of unemployment in euro-area countries with co-integrated systems," Applied Economics, Taylor & Francis Journals, vol. 44(10), pages 1315-1335, April.
    2. Proietti, Tommaso, 2003. "Forecasting the US unemployment rate," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 451-476, March.
    3. Jennifer V Greenslade & Richard G Pierse & Jumana Saleheen, 2003. "A Kalman filter approach to estimating the UK NAIRU," Bank of England working papers 179, Bank of England.
    4. Apel, Mikael & Jansson, Per, 1999. "A theory-consistent system approach for estimating potential output and the NAIRU," Economics Letters, Elsevier, vol. 64(3), pages 271-275, September.
    5. Aleksejs Meļihovs & Anna Zasova, 2009. "Assessment of the natural rate of unemployment and capacity utilisation in Latvia," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 9(2), pages 25-46, December.
    6. Mikael Apel & Per Jansson, 1999. "System estimates of potential output and the NAIRU," Empirical Economics, Springer, vol. 24(3), pages 373-388.
    7. Nicolaas Groenewold & A J Hagger, 2000. "The Natural Rate of Unemployment in Australia: Estimates From a Structural Var," Australian Economic Papers, Wiley Blackwell, vol. 39(2), pages 121-137, June.
    8. Douglas Staiger & James H. Stock & Mark W. Watson, 1997. "The NAIRU, Unemployment and Monetary Policy," Journal of Economic Perspectives, American Economic Association, vol. 11(1), pages 33-49, Winter.
    9. King, Thomas B. & Morley, James, 2007. "In search of the natural rate of unemployment," Journal of Monetary Economics, Elsevier, vol. 54(2), pages 550-564, March.
    10. Groenewold, Nicolaas & Hagger, A J, 2000. "The Natural Rate of Unemployment in Australia: Estimates from a Structural VAR," Australian Economic Papers, Wiley Blackwell, vol. 39(2), pages 121-137, June.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Franz Wolfgang, 2001. "Neues von der NAIRU? / News from the NAIRU?," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 221(3), pages 256-284, June.
    2. Beissinger, Thomas, 2003. "Strukturelle Arbeitslosigkeit in Europa : eine Bestandsaufnahme (Structural unemployment in Europe * an inventory)," Mitteilungen aus der Arbeitsmarkt- und Berufsforschung, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany], vol. 36(4), pages 411-427.
    3. Alvaro Aguiar & Manuel Martins, 2005. "Testing the significance and the non-linearity of the Phillips trade-off in the Euro Area," Empirical Economics, Springer, vol. 30(3), pages 665-691, October.
    4. Thomas Lindh, 2004. "Medium-term forecasts of potential GDP and inflation using age structure information," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(1), pages 19-49.
    5. Odile Chagny & Jörg Döpke, 2001. "Measures of the Output Gap in the Euro-Zone: An Empirical Assessment of Selected Methods," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 70(3), pages 310-332.
    6. Antonella Palumbo, 2008. "I metodi di stima del PIL potenziale tra fondamenti di Teoria economica e Contenuto empirico," Departmental Working Papers of Economics - University 'Roma Tre' 0092, Department of Economics - University Roma Tre.
    7. Luis E. Arango & Luz A. Flórez, 2020. "Determinants of structural unemployment in Colombia: a search approach," Empirical Economics, Springer, vol. 58(5), pages 2431-2464, May.
    8. Silvia Fabiani & Ricardo Mestre, 2004. "A system approach for measuring the euro area NAIRU," Empirical Economics, Springer, vol. 29(2), pages 311-341, May.
    9. Zhang, Chengsi & Murasawa, Yasutomo, 2011. "Output gap measurement and the New Keynesian Phillips curve for China," Economic Modelling, Elsevier, vol. 28(6), pages 2462-2468.
    10. Farzana Shaheen & Azad Haider & Sajid Amin Javed, 2011. "Estimating Pakistan's Time Varying Non-Accelerating Inflation Rate of Unemployment: An Unobserved Component Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 1(4), pages 172-179.
    11. repec:ptu:bdpart:a201006 is not listed on IDEAS
    12. Durán, Christian & Ramos, Raúl, 2006. "NAIRU Evolution in the Spanish Economy: a Kalman Filter Estimation Approach/Evolución de la NAIRU en la economía española: una estimación mediante el filtro de Kalman," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 24, pages 647(23á)-64, Agosto.
    13. Planas, Christophe & Roeger, Werner & Rossi, Alessandro, 2007. "How much has labour taxation contributed to European structural unemployment?," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1359-1375, April.
    14. Tanya Suchoy & Amit Friedman, 2002. "The NAIRU in Israel: an Unobserved Components Approach," Bank of Israel Working Papers 2002.08, Bank of Israel.
    15. Nicolaas Groenewold, 2003. "Long-Run Shifts of the Beveridge Curve and the Frictional Unemployment Rate in Australia," Australian Journal of Labour Economics (AJLE), Bankwest Curtin Economics Centre (BCEC), Curtin Business School, vol. 6(1), pages 65-82, March.
    16. Caporale, Guglielmo Maria & Gil-Alana, Luis A., 2008. "Modelling the US, UK and Japanese unemployment rates: Fractional integration and structural breaks," Computational Statistics & Data Analysis, Elsevier, vol. 52(11), pages 4998-5013, July.
    17. Magnus Gustavsson & Pär Österholm, 2010. "The presence of unemployment hysteresis in the OECD: what can we learn from out-of-sample forecasts?," Empirical Economics, Springer, vol. 38(3), pages 779-792, June.
    18. Arabinda Basistha & Richard Startz, 2004. "Measuring the NAIRU with Reduced Uncertainty: A Multiple Indicator-Common Component Approach," Working Papers UWEC-2004-22, University of Washington, Department of Economics.
    19. Łukasz Arendt, 2005. "Próba oszacowania NAIRU dla Polski," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 5-6, pages 1-23.
    20. Weyerstraß, Klaus, 2001. "Methoden der Schätzung des gesamtwirtschaftlichen Produktionspotentials und der Produktionslücke," IWH Discussion Papers 142/2001, Halle Institute for Economic Research (IWH).
    21. Leu, Shawn Chen-Yu & Sheen, Jeffrey, 2011. "A small New Keynesian state space model of the Australian economy," Economic Modelling, Elsevier, vol. 28(1), pages 672-684.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:dug:actaec:y:2014:i:1:p:148-159. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Daniela Robu (email available below). General contact details of provider: https://edirc.repec.org/data/fedanro.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.