Estimação do hiato do produto via componentes não observados

Abstract

The Product Gap is usually defined by the difference between the logarithm of potential product and that of effective product, the former being defined by the estimate of the level that the real product would reach if there were full employment. Sustained growth is implicit in the definition of potential product. Some authors (such as Moreira (1985)) have criticized this formulation, and suppose that when entrepreneurs consider the industrial product, they make a provision for the year's growth using the average rate of the two previous years. Also, investments are realized so as to maintain the utilization of the industrial complex at a constant level. This article presents an alternative way of defining potential product, one associated with the traditional formula. This new formulation defines potential product by the trend componentof the effective product series, with the possible presence of other components such as cyclical and seasonal. Effective product may therefore be interpreted as a temporal series that can be broken up into non-observed components, i.e., a structural model in the terminology of Harvey (198S}. The estimate of the non-observed components is made by Kalman's Filter; as a by-product we have the estimate of the product gap as the difference between effective product and the trend component. Another by-product that may be obtained is a series of effective and potential product on a different level from the observational.