AN ESTIMATION OF THE IRANIAN PRODUCTIVITY WITH KALMAN FILTER

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ABBASINEZHAD H.; KAVAND H.

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Journal: Iranian Journal of Economic Research Year:2007 | Volume:- | Issue:31 Page(s): 55-75

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Title

AN ESTIMATION OF THE IRANIAN PRODUCTIVITY WITH KALMAN FILTER

Author(s)

ABBASINEZHAD H. | KAVAND H. | Issue Writer Certificate

Keywords

STATE-SPACE MODELQ3

KALMAN FILTERQ3

POTENTIAL OUTPUTQ3

PRODUCTIVITYQ3

Abstract

Existence of unit root in logarithm of real GDP can be a sign of random walk with drift process in POTENTIAL OUTPUT. In this respect, the time growth rate of the POTENTIAL OUTPUT can be estimated as a proxy for PRODUCTIVITY in state space form. For this purpose, at first POTENTIAL OUTPUT and GDP gap have been simultaneously estimated with KALMAN FILTER algorithm. Then, the results of the POTENTIAL OUTPUT and production cycle have been compared with the results of Hodrick- Prescott and Baxter-King approaches. The three methods have confirmed the increase in the economic stability in recent years. To take into account the oil price shock effects on government income, we incorporate the PRODUCTIVITY into the model as a random walk process. This makes it possible to estimate PRODUCTIVITY time services for the period 1367 (1988): Q1-1384 (2005):Q4. Our findings show that PRODUCTIVITY in recent years has enjoyed a slow but positive trend and is somewhat stable.

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APA: Copy

ABBASINEZHAD, H., & KAVAND, H.. (2007). AN ESTIMATION OF THE IRANIAN PRODUCTIVITY WITH KALMAN FILTER. IRANIAN ECONOMIC RESEARCH, -(31), 55-75. SID. https://sid.ir/paper/2554/en

Vancouver: Copy

ABBASINEZHAD H., KAVAND H.. AN ESTIMATION OF THE IRANIAN PRODUCTIVITY WITH KALMAN FILTER. IRANIAN ECONOMIC RESEARCH[Internet]. 2007;-(31):55-75. Available from: https://sid.ir/paper/2554/en

IEEE: Copy

H. ABBASINEZHAD, and H. KAVAND, “AN ESTIMATION OF THE IRANIAN PRODUCTIVITY WITH KALMAN FILTER,” IRANIAN ECONOMIC RESEARCH, vol. -, no. 31, pp. 55–75, 2007, [Online]. Available: https://sid.ir/paper/2554/en

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