UID:
edocfu_9960178098102883
Umfang:
1 online resource (26 p.)
ISBN:
1-4755-4794-3
,
1-4755-6494-5
Serie:
IMF Working Papers
Inhalt:
Benchmarking methods can be used to extrapolate (or “nowcast”) low-frequency benchmarks on the basis of available high-frequency indicators. Quarterly national accounts are a typical example, where a number of monthly and quarterly indicators of economic activity are used to calculate preliminary annual estimates of GDP. Using both simulated and real-life national accounts data, this paper aims at assessing the prediction accuracy of three benchmarking methods widely used in the national accounts compilation: the proportional Denton method, the proportional Cholette-Dagum method with first-order autoregressive error, and the regression-based Chow-Lin method. The results show that the Cholette-Dagum method provides the most accurate extrapolations when the indicator and the annual benchmarks move along the same trend. However, the Denton and Chow-Lin methods could prevail in real-life cases when the quarterly indicator temporarily deviates from the target series.
Anmerkung:
Description based upon print version of record.
,
Cover; Contents; Abstract; I. Introduction; II. Benchmarking Methods in the QNA: a Review; III. Assessment using Simulated Data; IV. An Application to National Accounts Data; V. Conclusions; Table; 1. Summary statistics of the national accounts exercise; Figures; 1. Mean Absolute Error in Scenario 1: Cholette-Dagum is superior when the BI ratio is stable and unpredictable; 2. Mean Absolute Error in Scenarios 2 and 3: Denton and Cholette-Dagum prevail when their underlying assumptions are met
,
3. Mean Absolute Error in Scenario 4 and 5: Chow-Lin improves the out-of-sample accuracy when the benchmark-indicator model is additive4. Morocco Exports: Chow-Lin outperforms the other methods; 5. Jamaica Exports: Chow-Lin underestimates the target value; 6. Ireland Imports: Denton performs well when the BI ratio follows a trend; 7. Brazil Exports: Cholette-Dagum is superior when the BI ratio converges towards its average; 8. Armenia Imports: Chow-Lin produces smoother series than Denton when the correlation between annual data and quarterly indicator is low; Annex
,
1. List of countries with available export and import seriesReferences; References
Weitere Ausg.:
ISBN 1-4843-0118-8
Sprache:
Englisch
