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Improving GDP measurement: a forecast combination perspective

  • S. Boragan Aruoba
  • Francis X. Diebold
  • Jeremy Nalewaik
  • Frank Schorfheide
  • Dongo Song

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.

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File URL: http://www.philadelphiafed.org/research-and-data/publications/working-papers/2011/wp11-41.pdf
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Paper provided by Federal Reserve Bank of Philadelphia in its series Working Papers with number 11-41.

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Date of creation: 2011
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Handle: RePEc:fip:fedpwp:11-41
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  1. S. Boragan Aruoba & Francis X. Diebold, 2010. "Real-Time Macroeconomic Monitoring: Real Activity, Inflation, and Interactions," NBER Working Papers 15657, National Bureau of Economic Research, Inc.
  2. Margaret M. McConnell & Gabriel Perez Quiros, 1997. "Output fluctuations in the United States: what has changed since the early 1980s?," Research Paper 9735, Federal Reserve Bank of New York.
  3. S. Boragan Aruoba & Francis X. Diebold & Jeremy Nalewaik & Frank Schorfheide & Dongho Song, 2013. "Improving GDP measurement: a measurement-error perspective," Working Papers 13-16, Federal Reserve Bank of Philadelphia.
  4. 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.
  5. Dennis J. Fixler & Jeremy Nalewaik, 2010. "News, Noise, and Estimates of the "True" Unobserved State of the Economy," BEA Working Papers 0068, Bureau of Economic Analysis.
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