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GDP Solera: The Ideal Vintage Mix

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  • Martín Almuzara
  • Dante Amengual
  • Gabriele Fiorentini
  • Enrique Sentana

Abstract

We use the information in the successive vintages of GDE and GDI to obtain an improved timely measure of U.S. aggregate output by exploiting cointegration between the different measures taking seriously their monthly release calendar. We also combine all existing overlapping comprehensive revisions to achieve further improvements. We pay particular attention to the Great Recession and the COVID-19 pandemic, which, despite producing dramatic fluctuations, did not generate noticeable revisions in previous growth rates. Our results suggest that revised GDE estimates, unlike GDI ones, are increasingly precise and receive higher weights, but early estimates retain some influence.

Suggested Citation

  • Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2024. "GDP Solera: The Ideal Vintage Mix," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 984-997, July.
    • Handle: RePEc:taf:jnlbes:v:42:y:2024:i:3:p:984-997
    DOI: 10.1080/07350015.2023.2273622
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    Cited by:

    1. Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2023. "Aggregate Output Measurements: A Common Trend Approach," Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 3-33, Emerald Group Publishing Limited.

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    More about this item

    JEL classification:

    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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