Structural Time Series Modelling of Capacity Utilisation

Proietti, Tommaso (1999): Structural Time Series Modelling of Capacity Utilisation.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Structural Time Series Models, Nonlinear models, Extended Kalman Filter, Interpolation
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E23 - Production; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E32 - Business Fluctuations ; Cycles

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