Improving GDP Measurement: A Measurement-Error Perspective

36 Pages Posted: 11 May 2013

See all articles by S. Borağan Aruoba

S. Borağan Aruoba

University of Maryland - Department of Economics

Francis X. Diebold

University of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER)

Jeremy Nalewaik

Board of Governors of the Federal Reserve System

Frank Schorfheide

University of Pennsylvania - Department of Economics; Centre for Economic Policy Research (CEPR)

Dongho Song

Johns Hopkins University - Carey Business School

Multiple version iconThere are 3 versions of this paper

Date Written: May 2, 2013

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: Income, Output, expenditure, business cycle, expansion, contraction, recession, turning point, state-space model, dynamic factor model, forecast combination

JEL Classification: E01, E32

Suggested Citation

Aruoba, S. Boragan and Diebold, Francis X. and Nalewaik, Jeremy John and Schorfheide, Frank and Song, Dongho, Improving GDP Measurement: A Measurement-Error Perspective (May 2, 2013). FRB of Philadelphia Working Paper No. 13-16. Available at SSRN: https://ssrn.com/abstract=2262895 or http://dx.doi.org/10.2139/ssrn.2262895

S. Boragan Aruoba (Contact Author)

University of Maryland - Department of Economics ( email )

College Park, MD 20742
United States
301-405-3508 (Phone)
301-405-3542 (Fax)

Francis X. Diebold

University of Pennsylvania - Department of Economics ( email )

Ronald O. Perelman Center for Political Science
133 South 36th Street
Philadelphia, PA 19104-6297
United States
215-898-1507 (Phone)
215-573-4217 (Fax)

HOME PAGE: http://www.ssc.upenn.edu/~fdiebold/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Jeremy John Nalewaik

Board of Governors of the Federal Reserve System ( email )

20th Street and Constitution Avenue NW
Washington, DC 20551
United States

Frank Schorfheide

University of Pennsylvania - Department of Economics ( email )

Ronald O. Perelman Center for Political Science
133 South 36th Street
Philadelphia, PA 19104-6297
United States

HOME PAGE: http://www.econ.upenn.edu/~schorf

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Dongho Song

Johns Hopkins University - Carey Business School ( email )

Baltimore, MD 20036-1984
United States

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