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Derivation of Quarterly GDP, Investment Spending, and Government Expenditure Figures from Annual Data: The Case of Pakistan

Rashid, Abdul and Jehan, Zanaib (2013): Derivation of Quarterly GDP, Investment Spending, and Government Expenditure Figures from Annual Data: The Case of Pakistan.

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Abstract

In this paper we convert annual GDP, investment spending, and government expenditure data into quarterly figures for Pakistan using observed annual time-series data for the period 1971-2010. Three different econometric disaggregation techniques, namely the Denton (1970) approach, the Chow-Lin (1971) framework, and the cubic spline interpolation method, are used for quarterisation. We use quarterly consumer price index (CPI) and industrial production index (IPI) as the indicator variables while disaggregating annual frequency data into quarterly frequency data. The time series properties of estimated quarterly series are examined using different unit root tests. Correlation estimates indicate that interpolated quarterly series using all three methods are highly correlated. Time series plots illustrate that while the series quartered using the Denton approach and the Chow-Lin procedure exhibit similar trends. However, the quarterisation based on the farmer approach is more variable as compared to that based on the later approach. The data set is given in the appendix and the estimation codes for all three methods are available from the authors.

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