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Improving GDP Measurement: A Forecast Combination Perspective

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Author Info

  • Boragan Aruoba

    () (Department of Economics, University of Maryland)

  • Francis X. Diebold

    () (Department of Economics, University of Maryland)

  • Jeremy Nalewaik

    () (Federal Reserve Board, Washington D.C.)

  • Frank Schorfheide

    () (Department of Economics, University of Pennsylvania)

  • Dongho Song

    () (Department of Economics, University of Pennsylvania)

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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Bibliographic Info

Paper provided by Penn Institute for Economic Research, Department of Economics, University of Pennsylvania in its series PIER Working Paper Archive with number 11-028.

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Length: 28 pages
Date of creation: 06 Sep 2011
Date of revision:
Handle: RePEc:pen:papers:11-028

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Related research

Keywords: National Income and Product Accounts; Output; Expenditure; Economic Activity; Business Cycle; Recession;

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References

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  1. Dennis J. Fixler & Jeremy J. Nalewaik, 2007. "News, noise, and estimates of the "true" unobserved state of the economy," Finance and Economics Discussion Series 2007-34, Board of Governors of the Federal Reserve System (U.S.).
  2. S. Boragan Aruoba & Francis X. Diebold, 2010. "Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," NBER Working Papers 15657, National Bureau of Economic Research, Inc.
  3. N. Kundan Kishor & Evan F. Koenig, 2005. "VAR estimation and forecasting when data are subject to revision," Working Papers 05-01, Federal Reserve Bank of Dallas.
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Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Better GDP estimates
    by Economic Logician in Economic Logic on 2011-10-12 14:28:00

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  1. Economic Logic blog

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