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Forecasting the Malmquist productivity index

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Daskovska, Alexandra [UCL] Simar, Léopold [UCL] Van Bellegem, Sébastien [UCL]

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 productivity index of 17 OECD countries, constructed from their GDP, labor and capital stock.

Document type Article de périodique (Journal article) – Article de recherche
Access type Accès restreint
Publication date 2010
Language Anglais
Journal information "Journal of Productivity Analysis" - Vol. 33, no. 2, p. 97-107 (2010)
Peer reviewed yes
Publisher Springer (Dordrecht)
issn 0895-562X
e-issn 1573-0441
Publication status Publié
Affiliation UCL - SSH/IMAQ - Institut multidisciplinaire pour la modélisation et l'analyse quantitative
Keywords Malmquist productivity index ; Circularity ; Efficiency ; Smooth bootstrap ; Forecasting intervals
Links
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Bibliographic reference Daskovska, Alexandra ; Simar, Léopold ; Van Bellegem, Sébastien. Forecasting the Malmquist productivity index. In: Journal of Productivity Analysis, Vol. 33, no. 2, p. 97-107 (2010)
Permanent URL http://hdl.handle.net/2078.1/34485