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Estimating Monthly GDP In A General Kalman Filter Framework: Evidence From Switzerland

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  • Nicolas A. Cuche

    ()
    (University of Lausanne and Studienzentrum Gerzensee)

  • Martin K. Hess

    ()
    (University of Bern and Studienzentrum Gerzensee)

Abstract

In this paper, we estimate deseasonalized monthly series for Swiss Gross Domestic Product at constant prices of 1990 for the period 1980-1998. They are consistent with the quarterly figures estimated by the Federal Office for Economic Development and Labour and are obtained by including information contained in related series. We present a general approach using the Kalman Filter technique nesting a great variety of interpolation setups. We evaluate competing models and provide a time series that can be used by other researchers.

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Bibliographic Info

Paper provided by Swiss National Bank, Study Center Gerzensee in its series Working Papers with number 99.02.

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Length: 37 pages
Date of creation: Mar 1999
Date of revision:
Handle: RePEc:szg:worpap:9902

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Related research

Keywords: Interpolation; Kalman filter; National accounting.;

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References

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  1. Litterman, Robert B, 1983. "A Random Walk, Markov Model for the Distribution of Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-73, April.
  2. Milton Friedman, 1962. "The Interpolation of Time Series by Related Series," NBER Books, National Bureau of Economic Research, Inc, number frie62-1.
  3. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  4. Fernandez, Roque B, 1981. "A Methodological Note on the Estimation of Time Series," The Review of Economics and Statistics, MIT Press, vol. 63(3), pages 471-76, August.
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Cited by:
  1. Issler, João Victor & Notini, Hilton Hostalacio & Rodrigues, Claudia Fontoura, 2009. "Constructing Coincident and Leading Indices of Economic Activity for the Brazilian Economy," Economics Working Papers (Ensaios Economicos da EPGE) 694, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  2. Hess, Martin K., 2004. "Dynamic and asymmetric impacts of macroeconomic fundamentals on an integrated stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(5), pages 455-471, December.
  3. Rocío Elizondo, 2012. "Monthly GDP estimates based on the IGAE," Working Papers 2012-11, Banco de México.
  4. Konstantins Benkovskis, 2008. "Short-Term Forecasts of Latvia's Real Gross Domestic Product Growth Using Monthly Indicators," Working Papers 2008/05, Latvijas Banka.
  5. Byeongchan Seong & Sung K. Ahn & Peter Zadrozny, 2007. "Cointegration Analysis with Mixed-Frequency Data," CESifo Working Paper Series 1939, CESifo Group Munich.
  6. International Monetary Fund, 2002. "Macroeconomic Adjustment in a Highly Dollarized Economy," IMF Working Papers 02/92, International Monetary Fund.
  7. Dellas, Harris & Hess, Martin K, 2002. "Financial Development and the Sensitivity of Stock Markets to External Influences," Review of International Economics, Wiley Blackwell, vol. 10(3), pages 525-38, August.
  8. Jonas Stulz, 2007. "Exchange rate pass-through in Switzerland: Evidence from vector autoregressions," Economic Studies 2007-04, Swiss National Bank.
  9. Eurilton Araujo, 2006. "Estimating and Testing Two Consumption-Based Asset Pricing Models for Brazil: An Information-Theoretic Approach," Brazilian Business Review, Fucape Business School, vol. 3(1), pages 1-14, January.
  10. Yueqing Jia, 2011. "A New Look at China’s Output Fluctuations: Quarterly GDP Estimation with an Unobserved Components Approach," Working Papers 2011-006, The George Washington University, Department of Economics, Research Program on Forecasting.
  11. Ureche-Rangau, Loredana & Burietz, Aurore, 2013. "One crisis, two crises…the subprime crisis and the European sovereign debt problems," Economic Modelling, Elsevier, vol. 35(C), pages 35-44.

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