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Macro-econometric and statistical software

The JRC develops and contributes to several software packages dedicated to econometric and statistical analysis:

  • PROGRAM GAP: implements the European Union's commonly agreed methodology to estimate potential growth and output gap.
  • GM Model: the DYNARE implementation of peer-reviewed versions of the European Commission's GM model.
  • QUEST Model: the DYNARE implementation of peer-reviewed versions of the European Commission's QUEST III model.
  • ECONOMETRIC SOFTWARE: gives you access to several software packages dedicated to econometric analysis

 

PROGRAM GAP

The output gap is one main ingredient in the calculation of the cyclically-adjusted budget balance of the EU Member States. Since 2002 the European Commission applies the Cobb-Douglas production function approach to obtain the output gap from the short-term deviations of labour and total factor productivity (TFP) from their potential. The cycle in unemployment is considered as an unobserved dynamic factor which is common to a labour cost indicator in a Phillips curve relationship, while the cycle in productivity is shared by capacity utilization. The complement of the unemployment cycle makes up the NAWRU.

GAP implements two bivariate dynamic factor models to decompose unemployment and productivity into equilibrium or potential plus short-term deviations. Interested readers can find an exhaustive description of the EU commonly agreed methodology in Havik, K., K. Mc Morrow, F. Orlandi, C. Planas, R. Raciborski, W. Roeger, A. Rossi, A. Thum-Thysen and V. Vandermeulen (2014), "The production function methodology for calculating potential growth rates and output gaps'', European Economy, Economic Paper, 535.

GM Model

The Global Multi-country model (GM) has been designed in 2014 to complement the model QUEST to support the EC in its macroeconomic surveillance, monitoring and forecasting tasks. It is regularly used to contribute to the Spring and Autumn releases of the European Economic Forecasts by providing model-based drivers identification of forecast of GDP.

The GM model belongs to the class of New-Keynesian Dynamic Stochastic General Equilibrium (DSGE) models that are now widely used by international institutions and central banks. These models have rigorous microeconomic foundations derived from utility and profit optimisation and include frictions in goods, labour and financial markets. Compared to the QUEST model, GM model is generally less detailed in terms of economic description of specific countries, but aims to provide an explicit role for international real and financial linkages across the countries in exams.

QUEST III

QUEST is a macroeconomic model to analyse and understand the state of the EU economy. It is developed by DG ECFIN with support from the JRC. The current version QUEST III is applied since 2007.

QUEST III belongs to the class of New-Keynesian Dynamic Stochastic General Equilibrium (DSGE) models that are now widely used by international institutions and central banks. These models have rigorous microeconomic foundations derived from utility and profit optimisation and include frictions in goods, labour and financial markets. With empirically plausible estimation and calibration they are able to fit the main features of the macroeconomic time series. The QUEST III model has been estimated on Euro Area and US data using Bayesian estimation methods.

QUEST III supports questions related to policy formulation, implementation and evaluation. Many of the main applications deal with fiscal and monetary policy interactions. In order to deal with the wide range of policy issues in DG ECFIN, different model versions of the QUEST III model have been constructed, each with a specific focus and regional and sectoral disaggregation.

ECONOMETRIC SOFTWARE

The JRC develops and contributes to several software packages dedicated to econometric and statistical analysis:

  • BUSY: a software for business cycle analysis.
  • GLUEWIN: it implements the Generalized Likelihood Uncertainty Estimation (GLUE) methodology (Beven and Binley, 1992).
  • SS-ANOVA-R: software to estimates of multivariate Smoothing Spline ANOVA models with Recursive algorithms.