Disaggregating the Chinese annual national accounts to quarterly series

Jérôme Trinh (jerome.trinh@cyu.fr)
Additional contact information
Jérôme Trinh: Université de Cergy-Pontoise, THEMA

No 2019-08, THEMA Working Papers from THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise

Abstract: This article develops a methodology to compute up-to-date quarterly macroeco- nomic data for emerging countries by adapting a well-known method of temporal disaggregation to time series with very small sample size and unstable relationships between them. By incorporating di erent procedures of structural break detection, the prediction of higher-frequency estimations of yearly ocial data can be improved. A methodology with a model selection procedure and disaggregation formulas is pro- posed. Its predictive performance is assessed by using empirical advanced countries data and simulated time series. An application to the Chinese national accounts al- lows the estimation of the cyclical components of the Chinese expenditure accounts and shows the Chinese economy to have second-order moments more in line with emerging countries than advanced economies like the United States.

Keywords: Time series; macroeconomic forecasting; disaggregation; structural change; business cycles; emerging economies (search for similar items in EconPapers)
JEL-codes: C32 E17 E37 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://thema.u-cergy.fr/IMG/pdf/2019-08.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ema:worpap:2019-08

Access Statistics for this paper

More papers in THEMA Working Papers from THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise Contact information at EDIRC.
Bibliographic data for series maintained by Stefania Marcassa (stefania.marcassa@u-cergy.fr this e-mail address is bad, please contact repec@repec.org).