Estimating Potential Output in Romania using Univariate Statistical Filters

Vasile Dedu () and Stoica Tiberiu ()
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Stoica Tiberiu: Bucharest Academy of Economic Studies

Ovidius University Annals, Economic Sciences Series, 2012, vol. XII, issue 1, 1355-1358

Abstract: In this paper, we determine the potential economic growth in Romania using three statistical univariate filters. The techniques used are Hodrick-Prescott (HP), Christiano-Fitzgerald (CF) and Baxter-King (BK) filters. According to our calculations, HP outperforms the other two filters for the pre-crisis period but offers poor end-sample estimates as expected. During the economic crisis, all models indicate a slowdown of the potential growth in Romania. The most reliable estimate for 2011 is offered by CF band-pass filter. BK filter performs poorly in the sample period with the exception of the estimate for 2008 and does not provide.

Keywords: potential output; univariate filter; band-pass filter; business cycles. (search for similar items in EconPapers)
JEL-codes: C32 E32 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:ovi:oviste:v:xii:y:2012:i:12:p:1355-1358

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