EconPapers    
Economics at your fingertips  
 

Aggregate output measurements: a common trend approach

Martin Almuzara, Gabriele Fiorentini () and Enrique Sentana ()

Working Paper series from Rimini Centre for Economic Analysis

Abstract: We analyze a model for N different measurements of a persistent latent time series when measurement errors are mean-reverting, which implies a common trend among measurements. We study the consequences of overdifferencing, finding potentially large biases in maximum likelihood estimators of the dynamics parameters and reductions in the precision of smoothed estimates of the latent variable, especially for multiperiod objects such as quinquennial growth rates. We also develop an R2 measure of common trend observability that determines the severity of misspecification. Finally, we apply our framework to US quarterly data on GDP and GDI, obtaining an improved aggregate output measure.

Keywords: Cointegration; GDP; GDI; Overdifferencing; Signal Extraction (search for similar items in EconPapers)
JEL-codes: C32 E01 (search for similar items in EconPapers)
Date: 2021-02
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: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://rcea.org/RePEc/pdf/wp21-02.pdf

Related works:
Working Paper: Aggregate Output Measurements: A Common Trend Approach (2021) Downloads
Working Paper: Aggregate Output Measurements: A Common Trend Approach (2021) Downloads
Working Paper: Aggregate Output Measurements: A Common Trend Approach (2021) Downloads
Working Paper: Aggregate Output Measurements: a Common Trend Approach (2021) Downloads
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:rim:rimwps:21-02

Access Statistics for this paper

More papers in Working Paper series from Rimini Centre for Economic Analysis Contact information at EDIRC.
Bibliographic data for series maintained by Marco Savioli ().

 
Page updated 2022-09-07
Handle: RePEc:rim:rimwps:21-02