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A measure of output gap for Italy through structural time series models

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  • Roberta Zizza

Abstract

The aim of this paper is to achieve a reliable estimate of the output gap for Italy through the development of several models within the class of the unobserved component time series models. These formulations imply the decomposition of output into a trend component (the 'potential output') and a cycle component (the 'output gap'). Both univariate and multivariate methods will be explored. In the former, only one measure of aggregate activity, such as GDP, is considered; in the latter, unemployment and industrial production are introduced. A comparison with alternative measures of output gap, mainly those published by international organisations, will conclude.

Suggested Citation

  • Roberta Zizza, 2006. "A measure of output gap for Italy through structural time series models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 33(5), pages 481-496.
    • Handle: RePEc:taf:japsta:v:33:y:2006:i:5:p:481-496
    DOI: 10.1080/02664760500448875
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    Cited by:

    1. Guido Bulligan & Lorenzo Burlon & Davide Delle Monache & Andrea Silvestrini, 2019. "Real and financial cycles: estimates using unobserved component models for the Italian economy," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 28(3), pages 541-569, September.
    2. Tommaso Proietti & Marco Fioramanti & Cecilia Frale & Libero Monteforte, 2020. "A Systemic Approach to Estimating the Output Gap for the Italian Economy," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 62(3), pages 465-493, September.
    3. Antonio Bassanetti & Jörg Döpke & Roberto Torrini & Roberta Zizza, 2006. "Capital, Labour and Productivity: What Role Do They Play in the Potential GDP Weakness of France, Germany and Italy?," Springer Books, in: Convergence or Divergence in Europe?, pages 123-159, Springer.

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