Estimating Monthly GDP In A General Kalman Filter Framework: Evidence From Switzerland
AbstractIn 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 InfoPaper provided by Swiss National Bank, Study Center Gerzensee in its series Working Papers with number 99.02.
Length: 37 pages
Date of creation: Mar 1999
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Postal: Studienzentrum Gerzensee, Postfach 21, 3115 Gerzensee
Find related papers by JEL classification:
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
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