Aggregate output measurements: a common trend approach

Saved in:

Authors and Corporations:

Almuzara, Martín (Author), Fiorentini, Gabriele (Author), Sentana, Enrique (Author)

Other Authors:

Fiorentini, Gabriele [Author] • Sentana, Enrique 1962- [Author]

Type of Resource:

E-Book

Language:

English

published:

New York, NY Federal Reserve Bank of New York [2021]

Series:

Subjects:

cointegration

GDP

GDI

overdifferencing

signal extraction

Graue Literatur

Source:

Verbunddaten SWB
Lizenzfreie Online-Ressourcen

Description
Summary:	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 U.S. quarterly data on GDP and GDI, obtaining an improved aggregate output measure.
Physical Description:	1 Online-Ressource (circa 38 Seiten); Illustrationen