Estimates of quarterly GDP growth using MIDAS regressions

Sailesh Bhaghoe, Gavin Ooft and Philip Hans Franses

No EI2019-29, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: This paper provides new estimates of year-to-year quarterly real GDP growth in Suriname for 2013Q1 to 2018Q4. The methodology to arrive at these estimates consists of the following steps. Using the familiar Chow and Lin method, the available annual data are disaggregated into a first round of quarterly data. The quarterly data are then included in a MIDAS model, which links the quarterly observations with a new but well established monthly observed indicator of economic activity. The best-performing MIDAS model is then used to update the initial estimates of quarterly GDP growth to final estimates, which in turn can be used in macro-economic modelling and analysis.

Keywords: Quarterly real GDP growth; Disaggregation; MIDAS Regression Models; Monthly indicator of economic activity (search for similar items in EconPapers)
JEL-codes: C32 C52 C53 (search for similar items in EconPapers)
Pages: 26
Date: 2019-08-01
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Citations: View citations in EconPapers (1)

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