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The Choice of the Aggregation Level in the Estimation of Quarterly National Accounts

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  • Cainelli, Giulio
  • Lupi, Claudio

Abstract

Many central statistical offices use indirect time series disaggregation methods to produce quarterly national accounts estimates or other high frequency variables. This paper investigates the relation existing between the statistical properties of indirectly estimated time series and the contemporaneous aggregation level at which estimation is carried out, when a version of the Chow-Lin (1971, 1976) method is used to evaluate quarterly time series. It is shown that estimation at the lowest possible level of contemporaneous aggregation is not always optimal. In order to choose the level of contemporaneous aggregation at which time series disaggregation should be carried out, the use of formal econometric tests is suggested. Copyright 1999 by The International Association for Research in Income and Wealth.

Suggested Citation

  • Cainelli, Giulio & Lupi, Claudio, 1999. "The Choice of the Aggregation Level in the Estimation of Quarterly National Accounts," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 45(4), pages 483-492, December.
    • Handle: RePEc:bla:revinw:v:45:y:1999:i:4:p:483-92
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    Cited by:

    1. Lupi, Claudio & Peracchi, Franco, 2003. "The limits of statistical information: How important are GDP revisions in Italy?," Economics & Statistics Discussion Papers esdp03005, University of Molise, Department of Economics.

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