Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/266111 
Year of Publication: 
2022
Series/Report no.: 
Staff Report No. 1027
Publisher: 
Federal Reserve Bank of New York, New York, NY
Abstract: 
We exploit the information in the successive vintages of gross domestic expenditure (GDE) and gross domestic income (GDI) from the current comprehensive revision to obtain an improved, timely measure of U.S. aggregate output by exploiting cointegration between the different measures and taking their monthly release calendar seriously. We also combine all existing overlapping comprehensive revisions to achieve further improvements. We pay particular attention to the Great Recession and the pandemic, which, despite producing dramatic fluctuations, does not generate noticeable revisions in previous growth rates. The estimated parameters of our dynamic state-space model suggest that comprehensive revisions have not changed the long-run growth rate of U.S. GDP.
Subjects: 
cointegration
comprehensive revisions
signal extractions
U.S. aggregate output
vintages
JEL: 
E01
C32
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.