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Can GDP measurement be further improved? Data revision and reconciliation

Author

Listed:
  • Jan P.A.M. Jacobs
  • Samad Sarferaz
  • Jan-Egbert Sturm
  • Simon van Norden

Abstract

Recent years have seen many attempts to combine expenditure-side estimates of U.S. real output (GDE) growth with income-side estimates (GDI) to improve estimates of real GDP growth. We show how to incorporate information from multiple releases of noisy data to provide more precise estimates while avoiding some of the identifying assumptions required in earlier work. This relies on a new insight: using multiple data releases allows us to distinguish news and noise measurement errors in situations where a single vintage does not. Our new measure, GDP++, fits the data better than GDP+, the GDP growth measure of Aruoba et al. (2016) published by the Federal Reserve Bank of Philadelphia. Historical decompositions show that GDE releases are more informative than GDI, while the use of multiple data releases is particularly important in the quarters leading up to the Great Recession.

Suggested Citation

  • Jan P.A.M. Jacobs & Samad Sarferaz & Jan-Egbert Sturm & Simon van Norden, 2018. "Can GDP measurement be further improved? Data revision and reconciliation," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2018-15, Economic Statistics Centre of Excellence (ESCoE).
  • Handle: RePEc:nsr:escoed:escoe-dp-2018-15
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    References listed on IDEAS

    as
    1. Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate output measurements: a common trend approach," Working Paper series 21-02, Rimini Centre for Economic Analysis.
    2. Andrew C. Chang & Phillip Li, 2018. "Measurement Error In Macroeconomic Data And Economics Research: Data Revisions, Gross Domestic Product, And Gross Domestic Income," Economic Inquiry, Western Economic Association International, vol. 56(3), pages 1846-1869, July.
    3. Durbin, James & Koopman, Siem Jan, 2012. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, edition 2, number 9780199641178.
    4. repec:taf:jnlbes:v:30:y:2012:i:2:p:181-190 is not listed on IDEAS
    5. 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.).
    6. Jacobs, Jan P.A.M. & van Norden, Simon, 2011. "Modeling data revisions: Measurement error and dynamics of "true" values," Journal of Econometrics, Elsevier, vol. 161(2), pages 101-109, April.
    7. Daniel M. Rees & David Lancaster & Richard Finlay, 2015. "A State-Space Approach to Australian Gross Domestic Product Measurement," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 48(2), pages 133-149, June.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    national accounts; output; income; expenditure; news; noise;
    All these keywords.

    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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