System estimates of potential output and the NAIRU |
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Authors: | Mikael Apel Per Jansson |
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Institution: | (1) Economics Department, Sveriges Riksbank, S-103 37 Stockholm, Sweden (e-mail: mikael.apel@riksbank.se; per. jansson@riksbank.se), SE |
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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.
First version received: June 1997/final version received: September 1998 |
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Keywords: | : Kalman filter NAIRU Okun's law Phillips curve potential output structural time-series models unobserved-components models |
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