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Estimation of the potential GDP by a new robust filter method

The first purpose of this paper is to propose a theoretically new robust filter method to estimate non-observable macroeconomic indicators. The second purpose is to apply the proposed method to estimate the Hungarian potential GDP in 2000–2021. The novelty of the proposed filter method is that — unl...

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Autores principales: Gyurkovics, Éva, Takács, Tibor
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer Berlin Heidelberg 2023
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10044105/
https://www.ncbi.nlm.nih.gov/pubmed/37360979
http://dx.doi.org/10.1007/s10100-023-00851-7
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author Gyurkovics, Éva
Takács, Tibor
author_facet Gyurkovics, Éva
Takács, Tibor
author_sort Gyurkovics, Éva
collection PubMed
description The first purpose of this paper is to propose a theoretically new robust filter method to estimate non-observable macroeconomic indicators. The second purpose is to apply the proposed method to estimate the Hungarian potential GDP in 2000–2021. The novelty of the proposed filter method is that — unlike papers published so far — it does not require the stability of the dynamic model, only a partial stability condition must be satisfied. Moreover, such time-dependent uncertainties and nonlinearities can arise in the model that satisfy a general quadratic constraint. An important advantage of the proposed robust filter method over the traditional Kalman filter is that no stochastic assumptions is needed that may not be valid for the problem at hand. The proposed filter method has never been applied to estimate the potential GDP. To estimate the Hungarian potential GDP, the proposed method is applied using uni-, bi- and trivariate models. Estimations up to 2021 has not been published yet for the Hungarian economy. The examined period includes both the financial world crisis and the Covid-19 crisis. The results of the different models are consistent. It turned out that the economic policy was very procyclical after 2012, and the GDP gap was still positive during and also after the Covid-19 crisis.
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spelling pubmed-100441052023-03-28 Estimation of the potential GDP by a new robust filter method Gyurkovics, Éva Takács, Tibor Cent Eur J Oper Res Article The first purpose of this paper is to propose a theoretically new robust filter method to estimate non-observable macroeconomic indicators. The second purpose is to apply the proposed method to estimate the Hungarian potential GDP in 2000–2021. The novelty of the proposed filter method is that — unlike papers published so far — it does not require the stability of the dynamic model, only a partial stability condition must be satisfied. Moreover, such time-dependent uncertainties and nonlinearities can arise in the model that satisfy a general quadratic constraint. An important advantage of the proposed robust filter method over the traditional Kalman filter is that no stochastic assumptions is needed that may not be valid for the problem at hand. The proposed filter method has never been applied to estimate the potential GDP. To estimate the Hungarian potential GDP, the proposed method is applied using uni-, bi- and trivariate models. Estimations up to 2021 has not been published yet for the Hungarian economy. The examined period includes both the financial world crisis and the Covid-19 crisis. The results of the different models are consistent. It turned out that the economic policy was very procyclical after 2012, and the GDP gap was still positive during and also after the Covid-19 crisis. Springer Berlin Heidelberg 2023-03-28 /pmc/articles/PMC10044105/ /pubmed/37360979 http://dx.doi.org/10.1007/s10100-023-00851-7 Text en © The Author(s) 2023 https://creativecommons.org/licenses/by/4.0/Open AccessThis article is licensed under a Creative Commons Attribution 4.0 International License, which permits use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons licence, and indicate if changes were made. The images or other third party material in this article are included in the article’s Creative Commons licence, unless indicated otherwise in a credit line to the material. If material is not included in the article’s Creative Commons licence and your intended use is not permitted by statutory regulation or exceeds the permitted use, you will need to obtain permission directly from the copyright holder. To view a copy of this licence, visit http://creativecommons.org/licenses/by/4.0/ (https://creativecommons.org/licenses/by/4.0/) .
spellingShingle Article
Gyurkovics, Éva
Takács, Tibor
Estimation of the potential GDP by a new robust filter method
title Estimation of the potential GDP by a new robust filter method
title_full Estimation of the potential GDP by a new robust filter method
title_fullStr Estimation of the potential GDP by a new robust filter method
title_full_unstemmed Estimation of the potential GDP by a new robust filter method
title_short Estimation of the potential GDP by a new robust filter method
title_sort estimation of the potential gdp by a new robust filter method
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10044105/
https://www.ncbi.nlm.nih.gov/pubmed/37360979
http://dx.doi.org/10.1007/s10100-023-00851-7
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