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

Author

Listed:
  • Álvaro Aguiar

    (CEMPRE, Faculdade de Economia da Universidade do Porto)

  • Manuel M. F. Martins

    (CEMPRE, Faculdade de Economia da Universidade do Porto)

Abstract

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.

Suggested Citation

  • Álvaro Aguiar & Manuel M. F. Martins, 2004. "Growth Cycles in XXth Century European Industrial Productivity: Unbiased Variance Estimation in a Time-varying Parameter Model," FEP Working Papers 144, Universidade do Porto, Faculdade de Economia do Porto.
    • Handle: RePEc:por:fepwps:144
    as

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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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    References listed on IDEAS

    as
    1. 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.
    2. 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.).
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Óscar Afonso & Álvaro Aguiar, 2004. "Comércio Externo e Crescimento da Economia Portuguesa no Século XX," FEP Working Papers 146, Universidade do Porto, Faculdade de Economia do Porto.
    2. Álvaro Aguiar & Manuel M. F. Martins, 2004. "O Crescimento da Produtividade da Indústria Portuguesa no Século XX," FEP Working Papers 145, Universidade do Porto, Faculdade de Economia do Porto.

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    More about this item

    Keywords

    unobservable components model; industrial productivity; growth cycles; Europe.;
    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
    • N64 - Economic History - - Manufacturing and Construction - - - Europe: 1913-

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