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Estimating Monthly GDP In A General Kalman Filter Framework: Evidence From Switzerland

In this paper, we estimate deseasonalized monthly series for Swiss Gross Domestic Product at constant prices of 1990 for the period 1980-1998. They are consistent with the quarterly figures estimated by the Federal Office for Economic Development and Labour and are obtained by including information contained in related series. We present a general approach using the Kalman Filter technique nesting a great variety of interpolation setups. We evaluate competing models and provide a time series that can be used by other researchers.

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Paper provided by Swiss National Bank, Study Center Gerzensee in its series Working Papers with number 99.02.

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Length: 37 pages
Date of creation: Mar 1999
Date of revision:
Handle: RePEc:szg:worpap:9902
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  1. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  2. 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.
  3. 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.
  4. Milton Friedman, 1962. "The Interpolation of Time Series by Related Series," NBER Books, National Bureau of Economic Research, Inc, number frie62-1.
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