Methodological Procedure for Estimating Brazilian Quarterly GDP Series |
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| Authors: | Luiz Fernando Cerqueira Adrian Pizzinga Cristiano Fernandes |
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| Institution: | (1) Department of Economics, Federal Fluminense University, Niterói, Rio de Janeiro, Brazil;(2) Financial and Actuarial Risk Management Institute (IAPUC), Catholic University of Rio de Janeiro, Rio de Janeiro, Brazil (Sponsored by the FAPERJ, PDR Scholarship);(3) Department of Electrical Engineering, Catholic University of Rio de Janeiro, Rio de Janeiro, Brazil |
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| Abstract: | This paper presents a methodology for estimating the Brazilian GDP quarterly series in the period between 1960–1996. Firstly,
an Engle–Granger’s static equation is estimated using GDP yearly data and GDP-related variables. The estimated coefficients
from this regression are then used to obtain a first estimation of the quarterly GDP, with unavoidable measurement errors.
The subsequent step is entirely based on benchmarking models estimated within a state space framework and consists in improving
the preliminary GDP estimation in order to both eliminate as much as possible the measurement error and that the sum of the
quarterly values matches the annual GDP.
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| Keywords: | Benchmarking Engle– Granger’ s equation Kalman’ s filter State space models GDP |
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