Robust Quarterization of GDP and Determination of Business Cycle Dates for IGC Partner Countries
Abdullah Tahir (),
Jameel Ahmed () and
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Jameel Ahmed: State Bank of Pakistan
No 97, SBP Working Paper Series from State Bank of Pakistan, Research Department
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
New Economics Papers: this item is included in nep-ets and nep-mac
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