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

There are no official quarterly real GDP estimates for New Zealand, for the period prior to 1977. We report the development of a seasonally adjusted series for a period of more than 60 years from mid-1947, and evaluate statistical properties. The series were developed 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 Fern´andez (1981) and Litterman (1983) models that disaggregate changes in GDP. Our preferred quarterly series is based on results generated from the Chow-Lin model. We assess movements in the new series against qualitative findings from New Zealand’s post-WWII economic history.

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Paper provided by Reserve Bank of New Zealand in its series Reserve Bank of New Zealand Discussion Paper Series with number DP2009/12.

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Handle: RePEc:nzb:nzbdps:2009/12
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  1. Hall, Viv B. & McDermott, C. John, 2009. "The New Zealand Business Cycle," Econometric Theory, Cambridge University Press, vol. 25(04), pages 1050-1069, August.
  2. Filippo Moauro & Giovanni Savio, 2005. "Temporal disaggregation using multivariate structural time series models," Econometrics Journal, Royal Economic Society, vol. 8(2), pages 214-234, 07.
  3. Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
  4. 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 372-75, November.
  5. James H. Stock & Mark W. Watson, 1998. "Business Cycle Fluctuations in U.S. Macroeconomic Time Series," NBER Working Papers 6528, National Bureau of Economic Research, Inc.
  6. 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 169-73, April.
  7. 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 129-30, January.
  8. 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.
  9. Hawke, G R, 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 301-07, September.
  10. 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 471-76, August.
  11. Tommaso Proietti, 2004. "Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited," Econometrics 0411011, EconWPA.
  12. 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.
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