The production function approach to the Belgian output gap, estimation of a multivariate structural time series model

Philippe Moës

Brussels Economic Review, 2006, vol. 49, issue 1, 59-91

Abstract: A multivariate structural time series model is applied to the factor inputs of a production function to estimate the Belgian output gap. The number of independent cycles and the frequencies are not restricted a priori. Phase shifts are introduced to allow for leads and lags. Over 1983-2004, a 3.5 years periodicity is found in the cycles. The cycles in the participation and unemployment rates are negligible. Two independent cycles hide behind the cycles of the other variables: hours, TFP and capacity utilization. Phase shifts are significant, with hours leading by as much as 3 quarters and capacity utilization lagging.

Keywords: Business cycle; output gap; phase shifts; structural time series models (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (3)

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Working Paper: The production function approach to the Belgian output gap, Estimation of a Multivariate Structural Time Series Model (2006)
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