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Improving GDP measurement: a forecast combination perspective

Author

Listed:
  • S. Boragan Aruoba
  • Francis X. Diebold
  • Jeremy J. Nalewaik
  • Frank Schorfheide
  • Dongho Song

Abstract

Two often-divergent U.S. GDP estimates are available, a widely-used expenditure-side version GDPE, and a much less widely-used income-side version GDI . The authors propose and explore a "forecast combination" approach to combining them. They then put the theory to work, producing a superior combined estimate of GDP growth for the U.S., GDPC. The authors compare GDPC to GDPE and GDPI , with particular attention to behavior over the business cycle. They discuss several variations and extensions.

Suggested Citation

  • S. Boragan Aruoba & Francis X. Diebold & Jeremy J. Nalewaik & Frank Schorfheide & Dongho Song, 2011. "Improving GDP measurement: a forecast combination perspective," Working Papers 11-41, Federal Reserve Bank of Philadelphia.
  • Handle: RePEc:fip:fedpwp:11-41
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    References listed on IDEAS

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    1. N. Kundan Kishor & Evan F. Koenig, 2009. "VAR Estimation and Forecasting When Data Are Subject to Revision," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 181-190, July.
    2. Dennis J. Fixler & Jeremy J. Nalewaik, 2007. "News, noise, and estimates of the "true" unobserved state of the economy," Finance and Economics Discussion Series 2007-34, Board of Governors of the Federal Reserve System (U.S.).
    3. S. Boragan Aruoba & Francis X. Diebold, 2010. "Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," American Economic Review, American Economic Association, vol. 100(2), pages 20-24, May.
    4. Margaret M. McConnell & Gabriel Perez-Quiros, 2000. "Output fluctuations in the United States: what has changed since the early 1980s?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
    5. Aruoba, S. Borağan & Diebold, Francis X. & Nalewaik, Jeremy & Schorfheide, Frank & Song, Dongho, 2016. "Improving GDP measurement: A measurement-error perspective," Journal of Econometrics, Elsevier, vol. 191(2), pages 384-397.
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    Citations

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    Cited by:

    1. Nalewaik, Jeremy J., 2014. "Missing Variation in the Great Moderation: Lack of Signal Error and OLS Regression," Finance and Economics Discussion Series 2014-27, Board of Governors of the Federal Reserve System (U.S.).
    2. Aruoba, S. Borağan & Diebold, Francis X. & Nalewaik, Jeremy & Schorfheide, Frank & Song, Dongho, 2016. "Improving GDP measurement: A measurement-error perspective," Journal of Econometrics, Elsevier, vol. 191(2), pages 384-397.
    3. James Bishop & Troy Gill & David Lancaster, 2013. "GDP Revisions: Measurement and Implications," RBA Bulletin, Reserve Bank of Australia, pages 11-22, March.
    4. Jan P. A. M. Jacobs & Samad Sarferaz & Simon van Norden & Jan-Egbert Sturm, 2013. "Modeling Multivariate Data Revisions," CIRANO Working Papers 2013s-44, CIRANO.
    5. Daly, Mary C. & Fernald, John G. & Jordà, Òscar & Nechio, Fernanda, 2013. "Shocks and Adjustments," Working Paper Series 2013-32, Federal Reserve Bank of San Francisco, revised 01 Jul 2017.
    6. Stark, Tom, 2014. "Real-time performance of GDPplus and alternative model-based measures of GDP: 2005—2014," Research Rap Special Report, Federal Reserve Bank of Philadelphia, issue Nov.
    7. Jeremy J. Nalewaik, 2011. "The Income- and Expenditure-Side Estimates of U.S. Output Growth — An Update to 2011Q2," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 43(2 (Fall)), pages 385-411.

    More about this item

    Keywords

    Business cycles ; Recessions ; Expenditures; Public;

    JEL classification:

    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles

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