Working Paper: NBER ID: w18954
Authors: S. Boraan Aruoba; Francis X. Diebold; Jeremy Nalewaik; Frank Schorfheide; Dongho Song
Abstract: We provide a new and superior measure of U.S. GDP, obtained by applying optimal signal-extraction techniques to the (noisy) expenditure-side and income-side estimates. Its properties - particularly as regards serial correlation - differ markedly from those of the standard expenditure-side measure and lead to substantially-revised views regarding the properties of GDP.
Keywords: GDP measurement; measurement error; dynamic factor model
JEL Codes: E01; E32
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| measurement errors (C20) | GDPM (C69) |
| GDPe + GDPI (E20) | GDPM (C69) |
| GDPM (C69) | volatility (E32) |
| GDPM (C69) | predictability (D84) |
| GDPI (E20) | GDPM (C69) |
| GDPe (E20) | GDPM (C69) |
| GDPM (C69) | serial correlation (C29) |