Estimating quarterly GDP Data for the South Pacific Island Nations

Time series analyses generally rely on having a relatively high frequency of consistent and reliable data to work with. However for many of the South Pacific Island Nations (SPINS), data on major macroeconomic series, like GDP, are typically available only annually from the early 1980s. This paper empirically estimates quarterly GDP data from annual series using the approach of Abeysinghe and Rajaguru (2004), following the basic framework of Chow and Lin (1971), Fernandez (1981) and Litterman (1983). We link the available annual GDP series for a select group of SPINS with GDP-related series (predictor variables) that are available quarterly. We deem that our quarterly estimates of GDP are more consistent and reliable compared to estimates obtained through less sophisticated methods of univariate interpolation.PublishedAbeysinghe, T. and Rajaguru, G. (2004). “Quarterly Real GDP Estimates for China and ASEAN4 with a Forecast Evaluation”. Journal of Forecasting, 23, 432-447. Akaike, H. 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Income, Growth and Volatility in Small States”. World Development, 28, 2013-2027. Fernandez, R.B. (1981). “A Methodological Note on the Estimation of Time Series. Review of Economics and Statistics”, 63, 471-476. FEMM. (2000). Forum Economic Ministers Meeting, 25-16 July, 2000. Record of Meeting Decisions. Alofi, Niue. Hall, V. and McDermott, J. (2007). “A Quarterly Post-World War II Real GDP Series for New Zealand”. Motu Working Paper 07-13, Motu Economic and Public Policy Research. Haug, A. A. (2002). "Temporal Aggregation and the Power of Cointegration Tests: A Monte Carlo Study." Oxford Bulletin of Economics and Statistics, 64, 399-412 International Monetary Fund (2007). International Financial Statistics: Available at: http://ifs.apdi.net/imf/imfbrowser.aspx?branch=ROOT International Monetary Fund (2006). World Economic Outlook Database: Available at: http://www.imf.org/external/pubs/ft/weo/2006/02/data/index.aspx Johansen, J. (1988). “Statistical analysis of cointegration vectors”, Journal of Economic Dynamics and Control, 12, 231-254. Johansen, S and K. Juselius (1990).Maximum Likelihood Estimation and Inference on Cointegration – With Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, 169-210. Johansen, S. (1992). “Determination of Cointegration Rank in the Presence of a Linear Trend”, Oxford Bulletin of Economics and Statistics, 54, 383-397. Johansen, J. (1995). A Statistical Analysis of Cointegration for I(2) Variables. Econometric Theory, 11, 25-59 Litterman R.B. (1983). A Random Walk, Markov model for the Distribution of Time Series. Journal of Business and Economic Statistics, 1, 169-173. MacKinnon, J. G., Haug, A. A. and Michelis, L. (1999). “Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration”. Journal of Applied Econometrics, 14, 563-577. Marcellino, M. (1999). “Some Consequences of Temporal Aggregation in Empirical Analysis”. Journal of Business and Economic Statistics, 17,129-136. Moauro, F. and Savio, G. (2005). “Temporal disaggregation using multivariate structural time series models”. Econometrics Journal, 8, 214–234. Ng, S. and Perron, P. (2001). “Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power”, Econometrica, 69, 1519-1554. Schwarz, G. (1978). “Estimating the Dimension of a Model”, The Annals of Statistics, 6, 461-464. Secretariat of the Pacific Community. (2003). Thirteenth Regional Meeting of Heads of Statistics, Regional Meeting of Heads of Statistics 13 List of Meeting Papers, Noumea. SPC / STATS 13 Working Paper 6. Available at: http://www.spc.int/statsen/English/News_and_Events/Stats13/REPORT.htm Secretariat of the Pacific Community. (2005). Regional Meeting of Heads of Planning and Heads of Statistics, Planners and Statisticians Meeting, Noumea. 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ESTIMATING QUARTERLY GDP DATA FOR THE SOUTH PACIFIC ISLAND NATIONS

Time series analyses generally rely on having a relatively high frequency of consistent and reliable data to work with. However for many South Pacific Island Nations (SPINs), data on macroeconomic series, like GDP, are typically available only annually from the 1980s onwards. This paper empirically estimates quarterly GDP data from annual series using the modified Chow and Lin (1971) approach. We link available annual GDP series for select SPINs with GDP-related series that are available quarterly. We deem that our quarterly estimates of GDP are more consistent and reliable compared to estimates obtained through less sophisticated methods of univariate interpolation.Quarterly GDP, disaggregation of time series, South Pacific Island Nations, C82, E00