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Forecasting the Malmquist Productivity Index

Daskovska, Alexandra, Simar, Léopold and Van Bellegem, Sébastien (2009) Forecasting the Malmquist Productivity Index. TSE Working Paper, n. 09-048

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Official URL: http://tse-fr.eu/pub/22150

Abstract

The Malmquist Productivity Index (MPI) suggests a convenient way of measuring the productivity change of a given unit between two consequent time periods. Until now, only a static approach for analyzing the MPI was available in the literature. However, this hides a potentially valuable information given by the evolution of productivity
over time. In this paper, we introduce a dynamic procedure for forecasting the MPI. We compare several approaches and give credit to a method based on the assumption of circularity. Because the MPI is not circular, we present a new decomposition of the MPI, in which the time-varying indices are circular. Based on that decomposition, a
new working dynamic forecasting procedure is proposed and illustrated. To construct prediction intervals of the MPI, we extend the bootstrap method in order to take into account potential serial correlation in the data. We illustrate all the new techniques described
above by forecasting the productivityt index of 17 OCDE countries, constructed from their GDP, labor and capital stock.

Item Type: Monograph (Working Paper)
Language: English
Date: 11 June 2009
Uncontrolled Keywords: Malmquist Productivity Index, circularity efficiency, smooth bootstrap
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 18 Jan 2012 06:00
Last Modified: 07 Mar 2018 13:22
OAI ID: oai:tse-fr.eu:22150
URI: http://publications.ut-capitole.fr/id/eprint/3210

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