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Die Umsetzung der Annual-Overlap-Methode in ökonometrischen Modellen – eine Analyse der programmtechnischen Möglichkeiten von E-Views
[The implementation of the annual-overlap method in econometric models – an analysis of the technical possibilities in the framework of E-Views]

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  • Quaas, Georg

Abstract

The study addresses (i) the problem of non-additivity of some time series expressed in real terms that is one of the features of Germany’s new system of national accounts since 2005, and (ii) methods of the computation of quarterly data in econometric forecasting models under this condition. The problem of non-additivity is demonstrated with the architecture of the RWI-business cycle models how they were constructed by 2005. One of the theses of this study is that the unchained volumes measured by constant prices of the previous year (which can be ordered at Germany’s Office for National Statistics) are solving the problem (i) not only partly (Nierhaus 2004), but totally when embedded in the environment of an econometric model in an appropriate way. This study shows (ii) how the problem of computing quarterly data in econometric forecasting models on basis of E-Views appears. Six trials to solve this problem are discussed with the conclusion that only three of them are successful. The solutions of the problems consist in (i) a restriction of the explaining variables in the regressions to unchained volumes, or, alternatively, (ii) in the implementation of a 2-step-procedure that is operating with approximations and iterations (in this connection the convergence of the model-solutions is shortly discussed), and, last but not least, (iii) the embedding of the econometric model into a framework of forward- and backward dated variables and implementing a special algorithm that does not hark back to iterative procedures, but procures the exact values of all dimensions of an macroeconomic aggregate directly.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 19435.

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Date of creation: 18 Dec 2009
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Handle: RePEc:pra:mprapa:19435

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Keywords: System of National Accounts; econometric modelling; non-additivity; quarterly data; annual overlap method;

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References

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  1. Wolfgang Nierhaus, 2005. "Vorjahrespreisbasis: Rechenregeln für die Aggregation," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 58(22), pages 12-16, November.
  2. Quaas, Georg, 2009. "Realgrößen und Preisindizes im alten und im neuen VGR-System
    [Macro-economic aggregates in real terms and price indices in the old and the new system of national accounts]
    ," MPRA Paper 22316, University Library of Munich, Germany, revised 25 Apr 2010.
  3. Wolfgang Nierhaus, 2004. "Wirtschaftswachstum in den VGR: Zur Einführung der Vorjahrespreisbasis in der deutschen Statistik," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 57(05), pages 28-34, 03.
  4. Wolfgang Nierhaus, 2004. "Zur Einführung der Vorjahrespreisbasis in der deutschen Statistik: Besonderheiten der Quartalsrechnung," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 57(15), pages 14-21, 08.
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Cited by:
  1. Quaas, Georg, 2009. "Realgrößen und Preisindizes im alten und im neuen VGR-System
    [Macro-economic aggregates in real terms and price indices in the old and the new system of national accounts]
    ," MPRA Paper 22316, University Library of Munich, Germany, revised 25 Apr 2010.

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