Methodological Procedure for Estimating Brazilian Quarterly GDP Series

Luiz Cerqueira (), Adrian Pizzinga and Cristiano Fernandes

International Advances in Economic Research, 2009, vol. 15, issue 1, 102-114

Abstract: This paper presents a methodology for estimating the Brazilian GDP quarterly series in the period between 1960–1996. Firstly, an Engle–Granger’s static equation is estimated using GDP yearly data and GDP-related variables. The estimated coefficients from this regression are then used to obtain a first estimation of the quarterly GDP, with unavoidable measurement errors. The subsequent step is entirely based on benchmarking models estimated within a state space framework and consists in improving the preliminary GDP estimation in order to both eliminate as much as possible the measurement error and that the sum of the quarterly values matches the annual GDP. Copyright International Atlantic Economic Society 2009

Keywords: Benchmarking; Engle–Granger’s equation; Kalman’s filter; State space models; GDP; C32; C51; C52; E01; C10 (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/s11294-008-9187-2

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