IDEAS home Printed from https://ideas.repec.org/p/gwc/wpaper/2011-006.html
   My bibliography  Save this paper

A New Look at China’s Output Fluctuations: Quarterly GDP Estimation with an Unobserved Components Approach

Author

Listed:
  • Yueqing Jia

    (George Washington University)

Abstract

This paper provides quarterly real GDP estimates for China from 1978q1-1991q4 using an unobserved component approach. The approach imposes fewer prior restrictions on related series and is more flexible than other disaggregation methods. The multivariate unobserved components model with total trade and domestic credit as related series is selected as the best fit model for temporal disaggregation of China’s real GDP. The estimated quarterly real GDP data are then evaluated with univariate and multivariate time series analysis techniques. The constructed quarterly data are shown of good quality and provide valuable information for the analyses of China’s macroeconomic fluctuations during the period.

Suggested Citation

  • Yueqing Jia, 2011. "A New Look at China’s Output Fluctuations: Quarterly GDP Estimation with an Unobserved Components Approach," Working Papers 2011-006, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    • Handle: RePEc:gwc:wpaper:2011-006
    as

    Download full text from publisher

    File URL: https://www2.gwu.edu/~forcpgm/2011-006.pdf
    File Function: First version, 2011
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Santos Silva, J. M. C. & Cardoso, F. N., 2001. "The Chow-Lin method using dynamic models," Economic Modelling, Elsevier, vol. 18(2), pages 269-280, April.
    2. Zarnowitz, Victor & Ozyildirim, Ataman, 2006. "Time series decomposition and measurement of business cycles, trends and growth cycles," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1717-1739, October.
    3. Christian J. Murray, 2003. "Cyclical Properties of Baxter-King Filtered Time Series," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 472-476, May.
    4. Filippo di Mauro & L. Vanessa Smith & Stephane Dees & M. Hashem Pesaran, 2007. "Exploring the international linkages of the euro area: a global VAR analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(1), pages 1-38.
    5. Bayoumi, Tamim & Eichengreen, Barry, 1992. "Shocking Aspects of Monetary Unification," Department of Economics, Working Paper Series qt791143kp, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    6. Pierre L. Siklos & Yang Zhang, 2010. "Identifying The Shocks Driving Inflation In China," Pacific Economic Review, Wiley Blackwell, vol. 15(2), pages 204-223, May.
    7. James Morley & Jeremy Piger, 2012. "The Asymmetric Business Cycle," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 208-221, February.
    8. Julia Bersch & Tara M. Sinclair, 2011. "Mongolia: Measuring the Output Gap," IMF Working Papers 2011/079, International Monetary Fund.
    9. Xu, Xianchun, 2008. "Some differences in GDP measurements between China's practice and 1993 SNA guideline," China Economic Review, Elsevier, vol. 19(3), pages 480-488, September.
    10. Richard H. Clarida & Jordi Gali, 1994. "Sources of real exchange rate fluctuations: how important are nominal shocks?," Proceedings, Federal Reserve Bank of Dallas, issue Apr.
    11. Beveridge, Stephen & Nelson, Charles R., 1981. "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the `business cycle'," Journal of Monetary Economics, Elsevier, vol. 7(2), pages 151-174.
    12. Gerlach, Stefan & Yiu, Matthew S., 2004. "Estimating output gaps in Asia: A cross-country study," Journal of the Japanese and International Economies, Elsevier, vol. 18(1), pages 115-136, March.
    13. James C. Morley & Charles R. Nelson & Eric Zivot, 2003. "Why Are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP So Different?," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 235-243, May.
    14. Jorg Scheibe, 2003. "The Chinese Output Gap During the Reform Period 1978-2002," Economics Series Working Papers 179, University of Oxford, Department of Economics.
    15. Litterman, Robert B, 1983. "A Random Walk, Markov Model for the Distribution of Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-173, April.
    16. Peter K. Clark, 1987. "The Cyclical Component of U. S. Economic Activity," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 102(4), pages 797-814.
    17. Gregory C. Chow, 1993. "Capital Formation and Economic Growth in China," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 108(3), pages 809-842.
    18. Tamim Bayoumi & Barry Eichengreen, 1992. "Shocking Aspects of European Monetary Unification," NBER Working Papers 3949, National Bureau of Economic Research, Inc.
    19. Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-375, November.
    20. Laurenceson, James & Rodgers, Danielle, 2010. "China's macroeconomic volatility -- How important is the business cycle?," China Economic Review, Elsevier, vol. 21(2), pages 324-333, June.
    21. Alwyn Young, 2003. "Gold into Base Metals: Productivity Growth in the People's Republic of China during the Reform Period," Journal of Political Economy, University of Chicago Press, vol. 111(6), pages 1220-1261, December.
    22. GERLACH, Stefan & Peng, Wensheng, 2006. "Output gaps and inflation in Mainland China," China Economic Review, Elsevier, vol. 17(2), pages 210-225.
    23. Durbin, James & Koopman, Siem Jan, 2012. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, edition 2, number 9780199641178.
    24. Nicolas A. Cuche & Martin K. Hess, 1999. "Estimating Monthly GDP In A General Kalman Filter Framework: Evidence From Switzerland," Working Papers 99.02, Swiss National Bank, Study Center Gerzensee.
    25. Carsten A. Holz, 2006. "CHINA's REFORM PERIOD ECONOMIC GROWTH: HOW RELIABLE ARE ANGUS MADDISON's ESTIMATES?," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 52(1), pages 85-119, March.
    26. Gulasekaran Rajaguru & Tilak Abeysinghe, 2004. "Quarterly real GDP estimates for China and ASEAN4 with a forecast evaluation," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(6), pages 431-447.
    27. Holz, Carsten A., 2004. "Deconstructing China's GDP statistics," China Economic Review, Elsevier, vol. 15(2), pages 164-202.
    28. Chadwick C. Curtis & Nelson Mark, 2010. "Business Cycles, Consumption and Risk-Sharing: How Different Is China?," NBER Working Papers 16154, National Bureau of Economic Research, Inc.
    29. Tingguo Zheng & Yujuan Teng & Tao Song, 2010. "Business Cycle Asymmetry in China: Evidence from Friedman's Plucking Model," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 18(4), pages 103-120, July.
    30. Gregory Chow, 2006. "Are Chinese Official Statistics Reliable?," CESifo Economic Studies, CESifo, vol. 52(2), pages 396-414, June.
    31. Filippo Moauro & Giovanni Savio, 2005. "Temporal disaggregation using multivariate structural time series models," Econometrics Journal, Royal Economic Society, vol. 8(2), pages 214-234, July.
    32. Vines, David & Scheibe, Jörg, 2005. "A Phillips Curve for China," CEPR Discussion Papers 4957, C.E.P.R. Discussion Papers.
    33. Cogley, Timothy & Nason, James M., 1995. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research," Journal of Economic Dynamics and Control, Elsevier, vol. 19(1-2), pages 253-278.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Kerola, Eeva, 2018. "In search of fluctuations : Another look at China’s incredibly stable GDP growth," BOFIT Discussion Papers 23/2018, Bank of Finland, Institute for Economies in Transition.
    2. Sinclair, Tara M., 2019. "Characteristics and implications of Chinese macroeconomic data revisions," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1108-1117.
    3. Eeva Kerola, 2019. "In Search of Fluctuations: Another Look at China’s Incredibly Stable GDP Growth Rates," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 61(3), pages 359-380, September.
    4. Kerola, Eeva, 2018. "In search of fluctuations: Another look at China's incredibly stable GDP growth," BOFIT Discussion Papers 23/2018, Bank of Finland Institute for Emerging Economies (BOFIT).
    5. repec:zbw:bofitp:2018_023 is not listed on IDEAS

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Tara Sinclair & Yeuqing Jia, 2010. "Permanent and Transitory Macroeconomic Relationships between China and the Developed World," Working Papers 2010-08, The George Washington University, Institute for International Economic Policy.
    2. Han, Yang & Liu, Zehao & Ma, Jun, 2020. "Growth cycles and business cycles of the Chinese economy through the lens of the unobserved components model," China Economic Review, Elsevier, vol. 63(C).
    3. Günes Kamber & James Morley & Benjamin Wong, 2018. "Intuitive and Reliable Estimates of the Output Gap from a Beveridge-Nelson Filter," The Review of Economics and Statistics, MIT Press, vol. 100(3), pages 550-566, July.
    4. Zhang, Chengsi & Murasawa, Yasutomo, 2012. "Multivariate model-based gap measures and a new Phillips curve for China," China Economic Review, Elsevier, vol. 23(1), pages 60-70.
    5. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks," MPRA Paper 50235, University Library of Munich, Germany.
    6. Biolsi, Christopher, 2023. "Do the Hamilton and Beveridge–Nelson filters provide the same information about output gaps? An empirical comparison for practitioners," Journal of Macroeconomics, Elsevier, vol. 75(C).
    7. Sinclair, Tara M., 2019. "Characteristics and implications of Chinese macroeconomic data revisions," International Journal of Forecasting, Elsevier, vol. 35(3), pages 1108-1117.
    8. Ai Deng & Pierre Perron, 2006. "A comparison of alternative asymptotic frameworks to analyse a structural change in a linear time trend," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 423-447, November.
    9. Luis Uzeda, 2022. "State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 25-53, Emerald Group Publishing Limited.
    10. Blonigen, Bruce A. & Piger, Jeremy & Sly, Nicholas, 2014. "Comovement in GDP trends and cycles among trading partners," Journal of International Economics, Elsevier, vol. 94(2), pages 239-247.
    11. Marlon Fritz, 2019. "Data-Driven Local Polynomial Trend Estimation for Economic Data - Steady State Adjusting Trends," Working Papers Dissertations 49, Paderborn University, Faculty of Business Administration and Economics.
    12. Tobias Hartl & Rolf Tschernig & Enzo Weber, 2020. "Fractional trends and cycles in macroeconomic time series," Papers 2005.05266, arXiv.org, revised May 2020.
    13. Fritz, Marlon, 2019. "Steady state adjusting trends using a data-driven local polynomial regression," Economic Modelling, Elsevier, vol. 83(C), pages 312-325.
    14. Daisuke Nagakura, 2008. "How Are Shocks to Trend and Cycle Correlated? A Simple Methodology for Unidentified Unobserved Components Models," IMES Discussion Paper Series 08-E-24, Institute for Monetary and Economic Studies, Bank of Japan.
    15. Xiaoshan Chen & Ronald MacDonald, 2010. "Revisiting the Dollar-Euro Permanent Equilibrium Exchange Rate: Evidence from Multivariate Unobserved Components Models," Working Papers 2010_16, Business School - Economics, University of Glasgow.
    16. Donayre, Luiggi, 2022. "On the behavior of Okun's law across business cycles," Economic Modelling, Elsevier, vol. 112(C).
    17. Richard H. Clarida & Mark P. Taylor, 2003. "Nonlinear Permanent - Temporary Decompositions in Macroeconomics and Finance," Economic Journal, Royal Economic Society, vol. 113(486), pages 125-139, March.
    18. Tommaso Proietti, 2002. "Some Reflections on Trend-Cycle Decompositions with Correlated Components," Econometrics 0209002, University Library of Munich, Germany.
    19. Guérin, Pierre & Maurin, Laurent & Mohr, Matthias, 2015. "Trend-Cycle Decomposition Of Output And Euro Area Inflation Forecasts: A Real-Time Approach Based On Model Combination," Macroeconomic Dynamics, Cambridge University Press, vol. 19(2), pages 363-393, March.
    20. Nicholas Sly & Caroline Weber, 2015. "Global tax policy and the synchronization of business cycles," Research Working Paper RWP 15-7, Federal Reserve Bank of Kansas City.

    More about this item

    Keywords

    Business cycle; economic growth; temporal disaggregation unobserved components; China;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gwc:wpaper:2011-006. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: GW Economics Department (email available below). General contact details of provider: https://edirc.repec.org/data/pfgwuus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.