Smoothness Prior Approach to Capturing Rapid Changes in Time-varying TFP and Application to the Chinese Economy
0
조회
0
다운로드
0
인용
0
참고문헌
초록
In this paper we propose a Bayesian approach to statistical analysis of the economy with time-varying total factor productivity (TFP) showing rapid changes. Conventional approaches to the empirical study of economic growth lack flexibility and therefore cannot appropriately capture the complex movement of TFP. To solve this problem, we construct Bayesian models for a production function with dynamic structure. Also, the possibility is considered that there are rapid changes in TFP in some situations. In our proposed approach, TFP is treated as a time-varying parameter and regarded as a random variable. A set of Bayesian models for time-varying TFP incorporating rapid changes is constructed based on a smoothness prior approach. Then, the time-varying TFP is estimated using a Bayesian linear modeling approach together with a newly-proposed random grouping method. Using time series data for the Chinese macro-economy, we show that our proposed approach makes a detailed analysis of TFP trends possible.
Abstract
In this paper we propose a Bayesian approach to statistical analysis of the economy with time-varying total factor productivity (TFP) showing rapid changes. Conventional approaches to the empirical study of economic growth lack flexibility and therefore cannot appropriately capture the complex movement of TFP. To solve this problem, we construct Bayesian models for a production function with dynamic structure. Also, the possibility is considered that there are rapid changes in TFP in some situations. In our proposed approach, TFP is treated as a time-varying parameter and regarded as a random variable. A set of Bayesian models for time-varying TFP incorporating rapid changes is constructed based on a smoothness prior approach. Then, the time-varying TFP is estimated using a Bayesian linear modeling approach together with a newly-proposed random grouping method. Using time series data for the Chinese macro-economy, we show that our proposed approach makes a detailed analysis of TFP trends possible.
참고문헌 (20)
- Akaike, H., "A New Look at the Statistical Model Identification", IEEE Transactions on Automatic Control AC-19, 716~723 (1974)
- Akaike, H., "Likelihood and the Bayes Procedure, In Bayesian Statistics", pp.143~166 (1980), University Press: Valencia
- Bai, C. E, "The Factor Income Distribution in China:1978-2007", China Economic Review, 21, pp.650~670 (2010)
- Barro, R. J., "Notes on Growth Accounting", Journal of Economic Growth, 4, pp.119~137 (1999)
- Bosworth, B, "Accounting for Growth: Comparing China and India", Journal of Economic Perspectives, 22, pp.45~66 (2008)
- Hing Lin Chan, "Regional Disparity of Productivity in China: A Stochastic Frontier Approach", 계량경제학보, 21(2), pp.30~60 (2010), 한국계량경제학회
- Chow, G. C., "Capital Formation and Economic Growth in China", Quarterly Journal of Economics, 108, pp.809~842 (1993)
- Chow, G. C., "Another Look at the Rate of Increase in TFP in China", Journal of Chinese Economics and Business Studies, 6, pp.219~224 (2008)
- Chow, G. C, "China’s Economic Growth: 1952-2010", Economic Development and Cultural Change, 51, pp.247~256 (2002)
- Chow, G. C, "Accounting for Economic Growth in Taiwan and Mainland China: A Comparative Analysis", Journal of Comparative Economics, 30, pp.507~530 (2002)
- Jiang, X. Q., "A Bayesian Method for the Dynamic Regression Analysis", Control and Infor- mation Engineers, 8, pp.8~16 (1995), Transactions of the Institute of Systems,
- Kawakami, T., "Structural Changes in China’s Economic Growth During the Reform Period", Review of Urban & Regional Development Studies, 16, pp.133~153 (2004)
- Kitagawa, G, "Smoothness Priors Analysis of Times Series" (1996), Springer-Verlag
- Kyo, K, "Bayesian Analysis of the Dynamic Structure in China’s Economic Growth, In Bayesian Inference and Maximum Entropy Methods in Science and Engineering", pp.309~316 (2008), American Institute of Physics
- Kyo, K., "Bayesian Estimation of Dynamic Matching Function for U-V Analysis in Japan", 31st International Workshop on Bayesian Inference and Maximum Entropy Methods in Science and Engineering (2011)
- Kwan, Y. K, "Estimating Economic Effects of Political Movements in China", Journal of Comparative Economics, 23, pp.192~208 (1996)
- Minami, R., "China's Education and the Economic Development" (2008), Keizai
- Hideo Noda, "Bayesian Methods for TFP Analysis of a Multi-Region Economy with Dynamic Structure and Application to Japan", Journal of Economic Research (JER), 14(2), pp.151~195 (2009), 경제연구소
- Wang, Y, "Sources of China’s Economic Growth 1952-1999: Incorporating Human Capital Accumulation", China Economic Review, 14, pp.32~52 (2003)
- Young, A., "Gold into Base Metal: Productivity Growth in the People’s Republic of China during the Reform Period", Journal of Political Economy, 111, pp.1220~1261 (2003)