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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 期刊論文 >  Estimating Taiwan’s Monthly GDP in an Exact Kalman Filter Framework: A Research Note

    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62064

    Title: Estimating Taiwan’s Monthly GDP in an Exact Kalman Filter Framework: A Research Note
    Authors: Yu-Lieh Huang
    教師: 黃裕烈
    Date: 2010
    Publisher: 國立台灣大學經濟系
    Relation: 經濟論文叢刊 (Taiwan Economic Review), 國立台灣大學經濟系,38 , 1 ,( Mar 2010 )
    Keywords: interpolation
    Kalman filter
    temporal disaggregation
    state-space model
    Abstract: 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.
    URI: http://www.press.ntu.edu.tw/ejournal/files/%E7%B6%93%E6%BF%9F%E8%AB%96%E6%96%87%E5%8F%A2%E5%88%8A%5C3801_201003/4.pdf
    Appears in Collections:[計量財務金融學系] 期刊論文

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