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Estimating Monthly GDP In A General Kalman Filter Framework: Evidence From Switzerland

Nicolas Cuche-Curti and Martin K. Hess ()
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Martin K. Hess: University of Bern and Studienzentrum Gerzensee, http://www.szgerzensee.ch/

No 99.02, Working Papers from Swiss National Bank, Study Center Gerzensee

Abstract: In this paper, we estimate deseasonalized monthly series for Swiss Gross Domestic Product at constant prices of 1990 for the period 1980-1998. They are consistent with the quarterly figures estimated by the Federal Office for Economic Development and Labour and are obtained by including information contained in related series. We present a general approach using the Kalman Filter technique nesting a great variety of interpolation setups. We evaluate competing models and provide a time series that can be used by other researchers.

Keywords: Interpolation; Kalman filter; National accounting. (search for similar items in EconPapers)
JEL-codes: E32 E37 (search for similar items in EconPapers)
Pages: 37 pages
Date: 1999-03
New Economics Papers: this item is included in nep-ets
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Citations: View citations in EconPapers (23)

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