Improving GDP Measurement: A Forecast Combination Perspective

S. Boragan Aruoba, Francis X. Diebold, Jeremy Nalewaik, Frank Schorfheide, Dongho Song

NBER Working Paper No. 17421
Issued in September 2011
NBER Program(s):   AP   EFG   IFM

Two often-divergent U.S. GDP estimates are available, a widely-used expenditure side version, GDPE, and a much less widely-used income-side version GDPI . We propose and explore a "forecast combination" approach to combining them. We then put the theory to work, producing a superior combined estimate of GDP growth for the U.S., GDPC. We compare GDPC to GDPE and GDPI , with particular attention to behavior over the business cycle. We discuss several variations and extensions.

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Document Object Identifier (DOI): 10.3386/w17421

Published: "Improving GDP Measurement: A Forecast Combination Perspective," in X. Chen and N. Swanson (eds.), Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis: Essays in Honor of Halbert L. White Jr., Springer, 1- 26, 2012. With B. Aruoba, J. Nalewaik, F. Schorfheide and D. Song,

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