A Quarterly Post-World War II Real GDP Series for New Zealand

31 Pages Posted: 31 Oct 2007

See all articles by Viv Hall

Viv Hall

Victoria University of Wellington - School of Economics & Finance

C. John McDermott

Reserve Bank of New Zealand

Date Written: October 2007

Abstract

There are no official quarterly real GDP estimates for New Zealand for the period prior to 1977. We develop a seasonally adjusted series for 1947q2 to 2006q2, by linking quarterly observations from two recent official series to temporally disaggregated observations for an earlier time period. Annual real GDP series are disaggregated, using the information from two quarterly diffusion indexes, developed by Haywood and Campbell (1976). Three econometric models are used: the Chow and Lin (1971) model that disaggregates the level of GDP; and the Fernández (1981) and Litterman (1983) models that disaggregate changes in GDP. Statistical properties of the series are evaluated, and movements in the new series are benchmarked against qualitative research findings from New Zealand's post-WWII economic history. Our preferred quarterly series is based on results generated from the Chow-Lin model.

Keywords: Quarterly real GDP series, temporal disaggregation, business cycles, New Zealand

JEL Classification: C22, C82, E01, E32

Suggested Citation

Hall, Viv and McDermott, C. John, A Quarterly Post-World War II Real GDP Series for New Zealand (October 2007). Available at SSRN: https://ssrn.com/abstract=1025764 or http://dx.doi.org/10.2139/ssrn.1025764

Viv Hall (Contact Author)

Victoria University of Wellington - School of Economics & Finance ( email )

P.O. Box 600
Wellington, 6140
New Zealand

HOME PAGE: http://www.vuw.ac.nz/sef/pages/staff/VivHall

C. John McDermott

Reserve Bank of New Zealand ( email )

2 The Terrace
P.O. Box 2498
Wellington, 6011
New Zealand

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