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Derivation of Quarterly GDP, Investment Spending, and Government Expenditure Figures from Annual Data: The Case of Pakistan

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  • Rashid, Abdul
  • Jehan, Zanaib

Abstract

In this paper we convert annual GDP, investment spending, and government expenditure data into quarterly figures for Pakistan using observed annual time-series data for the period 1971-2010. Three different econometric disaggregation techniques, namely the Denton (1970) approach, the Chow-Lin (1971) framework, and the cubic spline interpolation method, are used for quarterisation. We use quarterly consumer price index (CPI) and industrial production index (IPI) as the indicator variables while disaggregating annual frequency data into quarterly frequency data. The time series properties of estimated quarterly series are examined using different unit root tests. Correlation estimates indicate that interpolated quarterly series using all three methods are highly correlated. Time series plots illustrate that while the series quartered using the Denton approach and the Chow-Lin procedure exhibit similar trends. However, the quarterisation based on the farmer approach is more variable as compared to that based on the later approach. The data set is given in the appendix and the estimation codes for all three methods are available from the authors.

Suggested Citation

  • Rashid, Abdul & Jehan, Zanaib, 2013. "Derivation of Quarterly GDP, Investment Spending, and Government Expenditure Figures from Annual Data: The Case of Pakistan," MPRA Paper 46937, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:46937
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    References listed on IDEAS

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    1. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    2. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    3. Milton Friedman, 1962. "The Interpolation of Time Series by Related Series," NBER Books, National Bureau of Economic Research, Inc, number frie62-1, July.
    4. Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-375, November.
    5. Arby, Muhammad Farooq & Batool, Irem, 2007. "Estimating Quarterly Gross Fixed Capital Formation," MPRA Paper 4956, University Library of Munich, Germany.
    6. Fernandez, Roque B, 1981. "A Methodological Note on the Estimation of Time Series," The Review of Economics and Statistics, MIT Press, vol. 63(3), pages 471-476, August.
    7. Arby, Muhammad Farooq, 2008. "Some Issues in the National Income Accounts of Pakistan (Rebasing, Quarterly and Provincial Accounts and Growth Accounting)," MPRA Paper 32048, University Library of Munich, Germany.
    8. Milton Friedman, 1962. "Introduction to "The Interpolation of Time Series by Related Series"," NBER Chapters, in: The Interpolation of Time Series by Related Series, pages 1-3, National Bureau of Economic Research, Inc.
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    Cited by:

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    3. Abdul RASHID & Farah WAHEED, 2021. "Forward-Backward-Looking Monetary Policy Rules: Derivation and Empirics," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 71-92, December.
    4. Shahbaz, Muhammad & Arouri, Mohamed & Teulon, Frédéric, 2014. "Short- and long-run relationships between natural gas consumption and economic growth: Evidence from Pakistan," Economic Modelling, Elsevier, vol. 41(C), pages 219-226.

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    More about this item

    Keywords

    Quarterly GDP; Quarterly investment; Quarterly government expenditures; Disaggregation methods; Quarterisation; Quarterly Data; Pakistan; the Denton approach; the Chow-Lin framework; the Cubic Spline interpolation process;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment

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