Reconciled estimates of monthly GDP in the United States
Koop, Gary and McIntyre, Stuart and Mitchell, James and Poon, Aubrey (2023) Reconciled estimates of monthly GDP in the United States. Journal of Business and Economic Statistics, 41 (2). pp. 563-577. ISSN 0735-0015 (https://doi.org/10.1080/07350015.2022.2044336)
Preview |
Text.
Filename: Koop_etal_JBES_2022_Reconciled_estimates_of_monthly_GDP_in_the_US.pdf
Accepted Author Manuscript License: Strathprints license 1.0 Download (662kB)| Preview |
Abstract
In the United States, income and expenditure-side estimates of gross domestic product (GDP) (GDP (Formula presented.) and GDP (Formula presented.)) measure "true" GDP with error and are available at a quarterly frequency. Methods exist for using these proxies to produce reconciled quarterly estimates of true GDP. In this paper, we extend these methods to provide reconciled historical true GDP estimates at a monthly frequency. We do this using a Bayesian mixed frequency vector autoregression (MF-VAR) involving GDP (Formula presented.), GDP (Formula presented.), unobserved true GDP, and monthly indicators of short-term economic activity. Our MF-VAR imposes restrictions that reflect a measurement-error perspective (i.e., the two GDP proxies are assumed to equal true GDP plus measurement error). Without further restrictions, our model is unidentified. We consider a range of restrictions that allow for point and set identification of true GDP and show that they lead to informative monthly GDP estimates. We illustrate how these new monthly data contribute to our historical understanding of business cycles and we provide a real-time application nowcasting monthly GDP over the pandemic recession.
ORCID iDs
Koop, Gary ORCID: https://orcid.org/0000-0002-6091-378X, McIntyre, Stuart ORCID: https://orcid.org/0000-0002-0640-7544, Mitchell, James and Poon, Aubrey ORCID: https://orcid.org/0000-0003-2587-8779;-
-
Item type: Article ID code: 79174 Dates: DateEvent3 April 2023Published21 March 2022Published Online10 January 2022AcceptedSubjects: Social Sciences > Communities. Classes. Races > Regional economics. Space in economics Department: Strathclyde Business School > Economics Depositing user: Pure Administrator Date deposited: 17 Jan 2022 16:17 Last modified: 04 Dec 2024 18:35 URI: https://strathprints.strath.ac.uk/id/eprint/79174