Working Paper: CEPR ID: DP17196
Authors: Martin Almuzara; Dante Amengual; Gabriele Fiorentini; Enrique Sentana
Abstract: We exploit the information in the successive vintages of GDE and GDI from the current comprehensive revision to obtain an improved timely measure of US aggregate output by exploiting cointegration between the different measures and taking seriously their monthly release calendar. We also combine all existing overlapping comprehensive revisions to achieve further improvements. We pay particular attention to the Great Recession and the pandemic, which, despite producing dramatic fluctuations, does not generate noticeable revisions in previous growth rates. The estimated parameters of our dynamic state-space model suggest that comprehensive revisions have not changed the long-run growth rate of US GDP.
Keywords: cointegration; comprehensive revisions; signal extraction; US aggregate output; vintages
JEL Codes: E01; C32
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| comprehensive revisions (Y20) | average growth rate of US GDP (O40) |
| release of advance, second, and third estimates of GDE and GDI (E01) | precision gains in signal extraction (C58) |
| annual estimates become available in July (C80) | precision gains in signal extraction (C58) |
| GDPSolera estimates (C13) | less smoothed estimates compared to previous methods (C51) |
| GDPSolera estimates (C13) | alignment with subsequent BEA revised estimates (E01) |
| dramatic fluctuations in GDP during 2020 (E32) | estimates of growth rates for previous quarters (O40) |