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Reconciled Estimates of Monthly GDP in the US

Author

Listed:
  • Koop, Gary

    (University of Strathclyde)

  • McIntyre, Stuart

    (University of Strathclyde)

  • Mitchell, James

    (University of Warwick)

  • Poon, Aubrey

    (University of Strathclyde)

Abstract

In the US, income and expenditure side estimates of GDP (GDPI and GDPE) measure “true” GDP with error and are available at the quarterly frequency. Methods exist for producing reconciled quarterly estimates of GDP based on GDPI and GDPE. In this paper, we extend these methods to provide reconciled historical GDP estimates at the monthly frequency from 1960. We do this using a Bayesian Mixed Frequency Vector Autoregression involving GDPE, GDPI, unobserved true GDP and monthly indicators of short-term economic activity. We illustrate how the new monthly data contribute to our historical understanding of business cycles.

Suggested Citation

  • Koop, Gary & McIntyre, Stuart & Mitchell, James & Poon, Aubrey, 2020. "Reconciled Estimates of Monthly GDP in the US," EMF Research Papers 37, Economic Modelling and Forecasting Group.
    • Handle: RePEc:wrk:wrkemf:37
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    References listed on IDEAS

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    More about this item

    Keywords

    state-space model ; vector autoregressions ; Bayesian methods ; turning points ;
    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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