We propose a stochastic Solow growth model where a cyclical component is added to the total factor productivity process. Theoretically, an important feature of the model is that its main equation takes a state space representation where key parameters can be estimated via an unobserved component approach without involving capital stock measures. In addition, the dynamic properties of the model are mostly unaffected by the newly introduced cyclical component. Empirically, our novel framework is consistent with secular U.S. empirical evidence

Adding cycles into the neoclassical growth model

Livieri, G.
2019

Abstract

We propose a stochastic Solow growth model where a cyclical component is added to the total factor productivity process. Theoretically, an important feature of the model is that its main equation takes a state space representation where key parameters can be estimated via an unobserved component approach without involving capital stock measures. In addition, the dynamic properties of the model are mostly unaffected by the newly introduced cyclical component. Empirically, our novel framework is consistent with secular U.S. empirical evidence
2019
Settore SECS-P/01 - Economia Politica
Settore SECS-P/02 - Politica Economica
Settore SECS-P/03 - Scienza delle Finanze
Settore SECS-P/05 - Econometria
Settore SECS-P/12 - Storia Economica
Settore SECS-P/04 - Storia del Pensiero Economico
Settore SECS-S/01 - Statistica
Settore SECS-S/02 - Statistica per La Ricerca Sperimentale e Tecnologica
Settore SECS-S/03 - Statistica Economica
Settore SECS-S/04 - Demografia
Settore SECS-S/05 - Statistica Sociale
Stochastic growth model, Cyclical fluctuations, Unobserved component approach
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11384/83010
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