singapore’s advance gdp estimates international seminar on timeliness, methodology &...
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Singapore’s Advance GDP Estimates
International Seminar on Timeliness, Methodology & Comparability of Rapid
Estimates of Economic Trends
28 May 2009
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Outline
Compilation of Output-based Quarterly GDP Estimates Timeliness Methodology
Assessing the Quality of Advance GDP Estimates Methodology Dataset Results
Conclusion
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Compilation of Quarterly Output-based GDP
Estimates
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Compilation Cycle
Incomplete and limited data
Detailed disaggregation may not be possible
More disaggregation possible. Quarterly and earlier annual estimates revised
Estimates reconciled and benchmarked with I-O tables
Advance QtrlyEstimates
Prelim QtrlyEstimates
AnnualEstimates
PeriodicRebasing
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Jan Feb Apr MayMar
Compilation cycle for 1Q GDP
estimatesAdvance
Released not later than 2 weeks after end of reference qtr
Preliminary
Released 8 weeks after end of reference qtr
Example: Advance 1Q09 is released on 14 Apr 09 Preliminary 1Q09 is released on 21 May 09
Timeliness
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Industry BreakdownAdvance GDP Release Preliminary GDP Release
Timeliness Not later than 2 weeks after end of reference quarter
Not later than 8 weeks after end of reference quarter
Industry Breakdown Overall GDP Manufacturing ConstructionServices Producing Industries
Overall GDP Goods Producing Industries
Manufacturing Construction Utilities Other Goods Industries
Services Producing Industries Wholesale & Retail Transport & Storage Hotels & Restaurants Information & Communications Financial Services Business Services Other Services Industries
Ownership of Dwellings
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Use of Indicators for GDP Compilation
Base year (reconciled) nominal VA estimates
Constant Price
GDP
Current Price
GDP
Price Indicators
Volume Indicators Value Indicators
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Methodology
Indicators used Examples
Deflated turnover Turnover estimates from monthly or quarterly industry surveys (e.g. catering trade, retail trade)
Deflated current price indicators
Progress payments for the construction industry
Volume indicators Container throughput, visitor arrivals, mobile call minutes
Input indicators Employment, wages
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Methodology
Tools for compiling the Advance GDP estimates Forecasting
ARIMA forecasts generated by X12-ARIMA software (developed by US Census Bureau)
Excel Interface Allows quick and easy forecasting Multiple series can be forecasted simultaneously
Inputs from data providers/major industry players Professional judgement
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Advance Estimates for Manufacturing
Forecasting
Inputs from data providers
Professional judgement
2 months of the Index of Industrial Production
Methodology
How the Advance Estimates for Manufacturing are compiled
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Assessing the Quality of Advance GDP Estimates
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Methodology
To assess the quality of Advance GDP Estimates using revision analysis
Examine:1) Whether Advance GDP is a biased estimate of
the Prelim GDP2) Whether information are efficiently used in the
Advance GDP
Revision refers to Prelim GDP – Advance GDP, i.e. later estimate minus earlier estimate
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1) To examine whether Advance GDP under- or over-estimate Prelim GDP
a) Mean Revisions and its statistical significance (using HAC-variance-based t-test at 5 % level): where significant mean revisions imply possible under- or over-estimation in Advance GDP
Follows the approach described in Di Fonzo (2005)
Methodology
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Methodology
2) To examine whether information are efficiently used in the estimation of Advance GDP
a. Correlation between revisions and earlier estimate, and its statistical significance: where significant correlation indicates that information are not efficiently utilized in earlier estimate, i.e. part or all of the revisions are corrections to earlier estimates, i.e. revisions reflect ‘noise’
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b. Correlation between revisions and later estimate, and its statistical significance: where significant correlation indicates that part or all of the revisions reflect new information i.e. revisions reflect ‘news’
Follows the approach described in Mckenzie, Tosetto and Fixler
Methodology
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Published 2002 Q4 – 2008 Q4 year-on-year growths of the GDP Advance Estimates (E) and the GDP Prelim Estimates (L): Total GDP Manufacturing Services Producing Industries
Dataset
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Revisions to Total GDP Growth
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Sample Size 25
Mean Revisions 0.3% Mean Rev is not significant at 5% levelHAC-based p-value 0.07
Corr( Rev,Advance) 0.3 No evidence of noise
Clear evidence that revisions are due to news
P-value 0.15
Corr( Rev,Prelim) 0.45
P-value 0.02
Revisions to Total GDP Growth
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Revisions to Manufacturing Growth
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Sample Size 25
Mean Revisions 0.7% Mean Rev is not significant at 5% levelHAC-based p-value 0.15
Corr( Rev,Advance) 0.22 No evidence of noise
Strong evidence that revisions are due to news
P-value 0.28
Corr( Rev,Prelim) 0.44
P-value 0.03
Revisions to Manufacturing Growth
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Revisions to Services Growth
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Sample Size 25
Mean Revisions 0.2% Mean Rev is not significant at 5% levelHAC-based p-value 0.36
Corr( Rev,Advance) 0.20 No evidence of noise
Clear evidence that revisions are due to news
P-value 0.35
Corr( Rev,Prelim) 0.41
P-value 0.04
Revisions to Services Growth
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Conclusion
Advance GDP estimates are good early indicators of the aggregate economic activity
Advance GDP estimates are generally unbiased
Information is efficiently used in Advance GDP estimates. Revisions to Advance GDP reflect new information not available at the time.
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References
Di Fonzo, T. (2005), The OECD project on revisions analysis: First elements for discussion, paper presented at the OECD STESEG Meeting, Paris, 27-28 June 2005 http://www.oecd.org/dataoecd/55/17/35010765.pdf
Mckenzie, Tosetto and Fixler Assessing the efficiency of early estimates of economic statistics, http://www.oecd.org/dataoecd/20/13/41009155.pdf
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Thank you