Long-Run Growth Forecasting
This book explores how to set up an empirical model that helps with forecasting long-term economic growth in a large number of countries. It offers a systematic approach to models of potential GDP that can also be used for forecasts of more than a decade.
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Stefan Bergheim
Long-Run Growth Forecasting 1 23
Long-Run Growth Forecasting
Stefan Bergheim
Long-Run Growth Forecasting
Stefan Bergheim Raimundstr. 121 60320 Frankfurt Germany [email protected]
ISBN 978-3-540-77679-6
e-ISBN 978-3-540-77680-2
Library of Congress Control Number: 2008923365 © 2008 Springer-Verlag Berlin Heidelberg This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permissions for use must always be obtained from Springer-Verlag. Violations are liable for prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: WMXDesign GmbH, Heidelberg, Germany Printed on acid-free paper 987654321 springer.com
To my mother
Acknowledgement
This book is based on my dissertation at WHU Otto Beisheim School of Management. I would like to thank Michael Frenkel for supervising this project and J¨ urgen Weigand for being co-supervisor. Special thanks go to Marco Neuhaus for the long discussions in 2004 and 2005 that inspired large parts of this study. Chiara Osbat introduced me to the non-stationary panel literature, and Magdalena Korb, Andrea Schneider, Elga Bartsch and Sarah Rupprecht were so kind to comment on drafts of the book. Seminar participants at ETH Zurich, Deutsche Bundesbank, the Max Planck Institute of Economics, the Institut der deutschen Wirtschaft Cologne and the Macroeconomic Policy Institute (IMK) in D¨ usseldorf also made helpful suggestions.
Contents
1
The importance of long-run growth analysis . . . . . . . . . . . . . . . 1.1 Frequent forecast failures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.2 Strong demand - but little supply . . . . . . . . . . . . . . . . . . . . . . . . . 1.3 Plan of work . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.3.1 Choosing a sensible theoretical model . . . . . . . . . . . . . . . . 1.3.2 Choosing the best econometric technique . . . . . . . . . . . . .
1 1 3 6 6 8
2
Assessment of growth theories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.1 The search for a dynamic model . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.2 The basic neoclassical model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2.2.1 Application in cross-country analysis . . . . . . . . . . . . . . . . . 2.3 Focus on convergence . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2
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