A Quarterly Post-World War II Real GDP Series for New Zealand

Viv B. Hall · John H. McDermott

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Monetary Policy and Economic Impact Economic Growth and Productivity New Zealand Economic and Social Studies

Abstract

There are no official quarterly real GDP estimates for New Zealand for the period prior to 1977. We develop a seasonally adjusted series for 1947q2 to 2006q2, by linking quarterly observations from two recent official series to temporally disaggregated observations for an earlier time period. Annual real GDP series are disaggregated, using the information from two quarterly diffusion indexes, developed by Haywood and Campbell (1976). Three econometric models are used: the Chow and Lin (1971) model that disaggregates the level of GDP, and the Fernández (1981) and Litterman (1983) models that disaggregate changes in GDP. Statistical properties of the series are evaluated, and movements in the new series are benchmarked against qualitative research findings from New Zealand's post-WWII economic history. Our preferred quarterly series is based on results generated from the Chow-Lin model.

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References

1993Tests for Parameter Instability and Structural Change With Unknown Change Point 2010Critical Values for Cointegration Tests 1971Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series 2003The Penguin history of New Zealand 1981A Methodological Note on the Estimation of Time Series 2004Recent U.S. Macroeconomic Stability: Good Policies, Good Practices, or Good Luck?1983A Random Walk, Markov Model for the Distribution of Time Series 1985The making of New Zealand : an economic history

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