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A Quarterly Post-World War II Real GDP Series for New Zealand

Author

Listed:
  • Viv Hall

    (Victoria University of Wellington)

  • John McDermott

    (Reserve Bank of New Zealand)

Abstract

There are no official quarterly real GDP estimates for New Zealand for the period prior to 1977. We develop a seasonally adjusted series for 1947q2 to 2006q2, by linking quarterly observations from two recent official series to temporally disaggregated observations for an earlier time period. Annual real GDP series are disaggregated, using the information from two quarterly diffusion indexes, developed by Haywood and Campbell (1976). Three econometric models are used: the Chow and Lin (1971) model that disaggregates the level of GDP, and the Fernández (1981) and Litterman (1983) models that disaggregate changes in GDP. Statistical properties of the series are evaluated, and movements in the new series are benchmarked against qualitative research findings from New Zealand's post-WWII economic history. Our preferred quarterly series is based on results generated from the Chow-Lin model.

Suggested Citation

  • Viv Hall & John McDermott, 2007. "A Quarterly Post-World War II Real GDP Series for New Zealand," Working Papers 07_13, Motu Economic and Public Policy Research.
    • Handle: RePEc:mtu:wpaper:07_13
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    File URL: https://motu-www.motu.org.nz/wpapers/07_13.pdf
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    References listed on IDEAS

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    1. Silver, J Lew, 1986. "Two Results Useful for Implementing Litterman's Procedure for Interpolating a Time Series [A Random Walk, Markov Model for the Distribution of Time Series]," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 129-130, January.
    2. Stock, James H. & Watson, Mark W., 1999. "Business cycle fluctuations in us macroeconomic time series," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 1, pages 3-64, Elsevier.
    3. Andrews, Donald W K & Ploberger, Werner, 1994. "Optimal Tests When a Nuisance Parameter Is Present Only under the Alternative," Econometrica, Econometric Society, vol. 62(6), pages 1383-1414, November.
    4. 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.
    5. 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.
    6. Fernandez, Roque B, 1981. "A Methodological Note on the Estimation of Time Series," The Review of Economics and Statistics, MIT Press, vol. 63(3), pages 471-476, August.
    7. Tommaso Proietti, 2006. "Temporal disaggregation by state space methods: Dynamic regression methods revisited," Econometrics Journal, Royal Economic Society, vol. 9(3), pages 357-372, November.
    8. Andrew Harvey & Chia‐Hui Chung, 2000. "Estimating the underlying change in unemployment in the UK," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 163(3), pages 303-309.
    9. G. R. Hawke, 1975. "Income Estimation From Monetary Data: Further Explorations," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 21(3), pages 301-307, September.
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    11. Hall, Viv B. & McDermott, C. John, 2009. "The New Zealand Business Cycle," Econometric Theory, Cambridge University Press, vol. 25(4), pages 1050-1069, August.
    12. 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.
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    Cited by:

    1. Vosen, Simeon & Schmidt, Torsten, 2012. "A monthly consumption indicator for Germany based on Internet search query data," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 19(7), pages 683-687.
    2. Willie Lahari & Alfred A. Haug & Arlene Garces-Ozanne, 2011. "Estimating Quarterly Gdp Data For The South Pacific Island Nations," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 56(01), pages 97-112.
    3. repec:zbw:rwirep:0208 is not listed on IDEAS
    4. Torsten Schmidt & Simeon Vosen, 2010. "A monthly consumption indicator for Germany based on internet search query data," Ruhr Economic Papers 0208, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.

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    More about this item

    Keywords

    Quarterly real GDP series; temporal disaggregation; business cycles; New Zealand;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
    • 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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