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Improving GDP Measurement: A Forecast Combination Perspective

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  • S. Boragan Aruoba
  • Francis X. Diebold
  • Jeremy Nalewaik
  • Frank Schorfheide
  • Dongho Song

Abstract

Two often-divergent U.S. GDP estimates are available, a widely-used expenditure side version, GDPE, and a much less widely-used income-side version GDPI . We propose and explore a "forecast combination" approach to combining them. We then put the theory to work, producing a superior combined estimate of GDP growth for the U.S., GDPC. We compare GDPC to GDPE and GDPI , with particular attention to behavior over the business cycle. We discuss several variations and extensions.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 17421.

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Date of creation: Sep 2011
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Publication status: published as "Improving GDP Measurement: A Forecast Combination Perspective," in X. Chen and N. Swanson (eds.), Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis: Essays in Honor of Halbert L. White Jr., Springer, 1- 26, 2012. With B. Aruoba, J. Nalewaik, F. Schorfheide and D. Song,
Handle: RePEc:nbr:nberwo:17421

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  1. Dennis J. Fixler & Jeremy Nalewaik, 2010. "News, Noise, and Estimates of the "True" Unobserved State of the Economy," BEA Working Papers 0068, Bureau of Economic Analysis.
  2. Margaret M. McConnell & Gabriel Perez Quiros, 1998. "Output fluctuations in the United States: what has changed since the early 1980s?," Staff Reports 41, Federal Reserve Bank of New York.
  3. N. Kundan Kishor & Evan F. Koenig, 2009. "VAR Estimation and Forecasting When Data Are Subject to Revision," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 181-190, July.
  4. S. Boragan Aruoba & Francis X. Diebold, 2010. "Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," PIER Working Paper Archive 10-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
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  1. Better GDP estimates
    by Economic Logician in Economic Logic on 2011-10-12 14:28:00
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Cited by:
  1. James Bishop & Troy Gill & David Lancaster, 2013. "GDP Revisions: Measurement and Implications," RBA Bulletin, Reserve Bank of Australia, pages 11-22, March.

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