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Methodological Procedure for Estimating Brazilian Quarterly GDP Series

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  • Luiz Cerqueira
  • Adrian Pizzinga
  • Cristiano Fernandes

Abstract

This paper presents a methodology for estimating the Brazilian GDP quarterly series in the period between 1960–1996. Firstly, an Engle–Granger’s static equation is estimated using GDP yearly data and GDP-related variables. The estimated coefficients from this regression are then used to obtain a first estimation of the quarterly GDP, with unavoidable measurement errors. The subsequent step is entirely based on benchmarking models estimated within a state space framework and consists in improving the preliminary GDP estimation in order to both eliminate as much as possible the measurement error and that the sum of the quarterly values matches the annual GDP. Copyright International Atlantic Economic Society 2009

Suggested Citation

  • Luiz Cerqueira & Adrian Pizzinga & Cristiano Fernandes, 2009. "Methodological Procedure for Estimating Brazilian Quarterly GDP Series," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 15(1), pages 102-114, February.
    • Handle: RePEc:kap:iaecre:v:15:y:2009:i:1:p:102-114:10.1007/s11294-008-9187-2
    DOI: 10.1007/s11294-008-9187-2
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    References listed on IDEAS

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    1. Harvey,Andrew C., 1991. "Forecasting, Structural Time Series Models and the Kalman Filter," Cambridge Books, Cambridge University Press, number 9780521405737.
    2. Victor A. Ginsburgh, 1973. "A Further Note on the Derivation of Quarterly Figures Consistent with Annual Data," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 22(3), pages 368-374, November.
    3. Engle, R. F. & Granger, C. W. J. (ed.), 1991. "Long-Run Economic Relationships: Readings in Cointegration," OUP Catalogue, Oxford University Press, number 9780198283393, Decembrie.
    4. J. Durbin & B. Quenneville, 1997. "Benchmarking by State Space Models," International Statistical Review, International Statistical Institute, vol. 65(1), pages 23-48, April.
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    Cited by:

    1. Adrian Pizzinga, 2010. "Constrained Kalman Filtering: Additional Results," International Statistical Review, International Statistical Institute, vol. 78(2), pages 189-208, August.

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    More about this item

    Keywords

    Benchmarking; Engle–Granger’s equation; Kalman’s filter; State space models; GDP; C32; C51; C52; E01; C10;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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