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Estimates of quarterly GDP growth using MIDAS regressions

Author

Listed:
  • Bhaghoe, S.
  • Ooft, G.
  • Franses, Ph.H.B.F.

Abstract

This paper provides new estimates of year-to-year quarterly real GDP growth in Suriname for 2013Q1 to 2018Q4. The methodology to arrive at these estimates consists of the following steps. Using the familiar Chow and Lin method, the available annual data are disaggregated into a first round of quarterly data. The quarterly data are then included in a MIDAS model, which links the quarterly observations with a new but well established monthly observed indicator of economic activity. The best-performing MIDAS model is then used to update the initial estimates of quarterly GDP growth to final estimates, which in turn can be used in macro-economic modelling and analysis.

Suggested Citation

  • Bhaghoe, S. & Ooft, G. & Franses, Ph.H.B.F., 2019. "Estimates of quarterly GDP growth using MIDAS regressions," Econometric Institute Research Papers EI2019-29, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    • Handle: RePEc:ems:eureir:118667
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    References listed on IDEAS

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    Cited by:

    1. Bhaghoe, Sailesh & Ooft, Gavin, 2021. "Nowcasting Quarterly GDP Growth in Suriname with Factor-MIDAS and Mixed-Frequency VAR Models," Studies in Applied Economics 176, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.

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    More about this item

    Keywords

    Quarterly real GDP growth; Disaggregation; MIDAS Regression Models; Monthly indicator of economic activity;
    All these keywords.

    JEL classification:

    • 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
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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