Economics at your fingertips  

Robust Quarterization of GDP and Determination of Business Cycle Dates for IGC Partner Countries

Abdullah Tahir (), Jameel Ahmed () and Waqas Ahmed
Additional contact information
Jameel Ahmed: State Bank of Pakistan

No 97, SBP Working Paper Series from State Bank of Pakistan, Research Department

Abstract: Business cycle dating, macroeconomic analysis and ex-ante policy prescription based on macroeconomic variables at annual data frequency is inadequate; as high frequency information on the state of the economy, otherwise inherent in quarterly data is averaged out at such low frequency. We use a robust method of disaggregating quarterly series from annual data, such that the aspect and information about the intervening business cycles is preserved. Extracting an orthogonal factor, which encompasses common variation (co-movements) of leading indicators of economic activity at quarterly data frequency, we use seemingly unrelated time series equation (SUTSE) model to disaggregate the annual GDP data into quarterly frequency. Utility of the quarterly GDP estimates is illustrated by (i) determining business cycle dates using a non-parametric Bry-Boschan (1971) algorithm and (ii) estimating the potential GDP and output gap for each of the 11 International Growth Center (IGC) partner countries.

Keywords: Temporal Disaggregation; Business Cycle Dates; Dynamic Linear Model (search for similar items in EconPapers)
JEL-codes: C32 E32 E58 (search for similar items in EconPapers)
Pages: 47 pages
Date: 2018-05
New Economics Papers: this item is included in nep-ets and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link) First version, 2018 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found ( [301 Moved Permanently]-->

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:

Access Statistics for this paper

More papers in SBP Working Paper Series from State Bank of Pakistan, Research Department Contact information at EDIRC.
Bibliographic data for series maintained by Faisal Saleem ().

Page updated 2022-09-14
Handle: RePEc:sbp:wpaper:97