| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6990 |
| DP6990 Optimally Combining Censored and Uncensored Datasets | |
| Paul J. Devereux; Gautam Tripathi | |
| 发表日期 | 2008-10-23 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | A continuous monitoring of the evolution of the economy is fundamental for the decisions of public and private decision makers. This paper proposes a new monthly indicator of the euro area real Gross Domestic Product (GDP), with several original features. First, it considers both the output side (six branches of the NACE classification) and the expenditure side (the main GDP components) and combines the two estimates with optimal weights reflecting their relative precision. Second, the indicator is based on information at both the monthly and quarterly level, modelled with a dynamic factor specification cast in state-space form. Third, since estimation of the multivariate dynamic factor model can be numerically complex, computational efficiency is achieved by implementing univariate filtering and smoothing procedures. Finally, special attention is paid to chain-linking and its implications, via a multistep procedure that exploits the additivity of the volume measures expressed at the prices of the previous year. |
| 主题 | International Macroeconomics |
| 关键词 | Chain-linking Dynamic factor models Euro area gdp Kalman filter and smoother Multivariate state space models Temporal disaggregation |
| URL | https://cepr.org/publications/dp6990 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535845 |
| 推荐引用方式 GB/T 7714 | Paul J. Devereux,Gautam Tripathi. DP6990 Optimally Combining Censored and Uncensored Datasets. 2008. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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