Structural Time Series Modelling of Capacity Utilisation

Tommaso Proietti

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper we introduce a structural non-linear time series model for joint estimation of capacity and its utilisation, thereby providing the statistical underpinnings to a measurement problem that has received ad hoc solutions, often underlying arbitrary assumptions. The model we propose is a particular growth model subject to a saturation level which varies over time according to a stochastic process specified a priori. A bivariate extension is discussed which is relevant when survey based estimates of utilization rates are available. Illustrations are provided with respect to the US and the Italian industrial production.

Keywords: Structural Time Series Models; Nonlinear models; Extended Kalman Filter; Interpolation (search for similar items in EconPapers)
JEL-codes: C22 E23 E32 (search for similar items in EconPapers)
Date: 1999-06-06
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