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GDP Solera. The Ideal Vintage Mix

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Abstract

We exploit the information in the successive vintages of GDE and GDI from the current comprehensive revision to obtain an improved timely measure of US aggregate output by exploiting cointegration between the different measures and taking seriously their monthly release calendar. We also combine all existing overlapping comprehensive revisions to achieve further improvements. We pay particular attention to the Great Recession and the pandemic, which, despite producing dramatic fluctuations, does not generate noticeable revisions in previous growth rates. The estimated parameters of our dynamic state-space model suggest that comprehensive revisions have not changed the long-run growth rate of US GDP.

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  • Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "GDP Solera. The Ideal Vintage Mix," Working Papers wp2022_2204, CEMFI.
  • Handle: RePEc:cmf:wpaper:wp2022_2204
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    1. Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2023. "Aggregate Output Measurements: A Common Trend Approach," Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 3-33, Emerald Group Publishing Limited.

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    More about this item

    Keywords

    Cointegration; Comprehensive revisions; Signal extraction; US aggregate output; Vintages.;
    All these keywords.

    JEL classification:

    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • 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

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