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Temporal disaggregation of overlapping noisy quarterly data: estimation of monthly output from UK value‐added tax data

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  • Paul Labonne
  • Martin Weale

Abstract

The paper derives monthly estimates of business sector output in the UK from rolling quarterly value‐added tax based turnover data. The administrative nature of the value‐added tax data implies that their use could ultimately yield a more precise and granular picture of output across the economy. However, they show two particular features which complicate their exploitation: they are overlapping and subject to substantial noise. This motivates our choice of a multivariate unobserved components model for filtering and disaggregating temporally the aggregate figures. After illustrating our method by using one industry as a case‐study, we estimate monthly seasonally adjusted gross output figures for the 75 industries for which the data are available. Our results show material differences from the existing output profile.

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  • Paul Labonne & Martin Weale, 2020. "Temporal disaggregation of overlapping noisy quarterly data: estimation of monthly output from UK value‐added tax data," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(3), pages 1211-1230, June.
    • Handle: RePEc:bla:jorssa:v:183:y:2020:i:3:p:1211-1230
    DOI: 10.1111/rssa.12568
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    Cited by:

    1. Klaus Abberger & Michael Graff & Oliver Müller & Boriss Siliverstovs, 2023. "Imputing Monthly Values for Quarterly Time Series: An Application Performed with Swiss Business Cycle Data," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 19(3), pages 241-273, November.
    2. Gary Koop & Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon & Ping Wu, 2023. "Incorporating Short Data into Large Mixed-Frequency VARs for Regional Nowcasting," Working Papers 23-09, Federal Reserve Bank of Cleveland.
    3. Martin Weale & Paul Labonne, 2022. "Nowcasting in the presence of large measurement errors and revisions," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2022-05, Economic Statistics Centre of Excellence (ESCoE).
    4. Paul Labonne, 2022. "Asymmetric Uncertainty: Nowcasting Using Skewness in Real-time Data," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2022-23, Economic Statistics Centre of Excellence (ESCoE).
    5. Luke Mosley & Idris A. Eckley & Alex Gibberd, 2022. "Sparse temporal disaggregation," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(4), pages 2203-2233, October.
    6. Barbara Guardabascio & Filippo Moauro & Luke Mosley, 2024. "Indirect estimation of the monthly transport turnover indicator in Italy," Empirical Economics, Springer, vol. 67(2), pages 531-566, August.
    7. Luke Mosley & Idris Eckley & Alex Gibberd, 2021. "Sparse Temporal Disaggregation," Papers 2108.05783, arXiv.org, revised Oct 2022.
    8. Paul Labonne, 2020. "Asymmetric uncertainty : Nowcasting using skewness in real-time data," Papers 2012.02601, arXiv.org, revised May 2024.

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