Reconstructing the Quarterly Series of the Chilean Gross Domestic Product Using a State Space Approach

Christian Caamaño-Carrillo (), Sergio Contreras-Espinoza and Orietta Nicolis
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Christian Caamaño-Carrillo: Departament of Statistics, Faculty of Science, Universidad del Bío-Bío, Concepción 4081112, Chile
Sergio Contreras-Espinoza: Departament of Statistics, Faculty of Science, Universidad del Bío-Bío, Concepción 4081112, Chile
Orietta Nicolis: Faculty of Engineering, Universidad Andres Bello, Viña del Mar 2520000, Chile

Mathematics, 2023, vol. 11, issue 8, 1-14

Abstract: In this work, we use a cointegration state space approach to estimate the quarterly series of the Chilean Gross Domestic Product (GDP) in the period 1965–2009. First, the equation of Engle–Granger is estimated using the data of the yearly GPD and some related variables, such as the price of copper, the exports of goods and services, and the mining production index. The estimated coefficients of this regression are then used to obtain a first estimation of the quarterly GDP series with measurement errors. A state space model is then applied to improve the preliminary estimation of the GDP with the main purpose of eliminating the maximum error of measurement such that the sum of the three-month values coincide swith the yearly GDP. The results are then compared with the traditional disaggregation methods. The resulting quarterly GDP series reflects the major events of the historical Chilean economy.

Keywords: benchmarking; Engle–Granger equation; Kalman filter; state space models; GDP (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
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