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Estimating Taiwan's Monthly GDP in an Exact Kalman Filter Framework: A Research Note
Journal article

Estimating Taiwan's Monthly GDP in an Exact Kalman Filter Framework: A Research Note

裕烈 黃
經濟論文叢刊, Vol.38(1), pp.147-160
2010

Abstract

Interpolation;Kalman filter;Temporal disaggregation;State-space model;國內生產毛值;狀態空間計量模型

In this paper, we describe a framework that nests a wide range of interpolation/distribution setups but relaxes the co-integration condition of temporal disaggregation that has been reported in the literature. Our goal is to evaluate alternative interpolation/distribution models and then generate the monthly deseasonalized real gross domestic product of Taiwan. Our empirical results show that the monthly estimates, incorporated in the information obtained from the industrial production index, are highly consistent with quarterly figures. These estimates should be invaluable to researchers and practitioners for short-run policy analysis in that they signal any emerging economic problems.

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