System estimates of potential output and the NAIRU

Mikael Apel and Per Jansson

Empirical Economics, 1999, vol. 24, issue 3, pages 373-388

Abstract: This paper proposes a new approach for estimating potential output and the NAIRU. The methodology models these key unobservable economic variables as latent stochastic trends within a trivariate system of observables comprising information on unemployment, GDP, and inflation. Identification is achieved through the use of a standard version of Okun's law and a Phillips curve. The performance of the procedure is investigated using Swedish quarterly data covering the time period 1970:1-1996:3.

Keywords: Kalman; filter; ·; NAIRU; ·; Okun's; law; ·; Phillips; curve; ·; potential; output; ·; structural; time-series; models; ·; unobserved-components; models (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 1999-08-16
Note: received: June 1997/final version received: September 1998
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