Estimated Monthly National Accounts for the United States

I jointly estimate monthly series for GDP and eight subcomponents for the US since 1950. The series match 1) quarterly national accounts equivalents, 2) exact data on monthly consumption, and 3) past relationships with other monthly indicators. I estimate the Kalman filter parameters by GMM, allowing fast calculation of confidence intervals for monthly estimates including parameter uncertainty, and validate the confidence intervals. After 1970 standard errors are tight, less than 0.3pp of GDP, and point estimates informative, with standard deviations four times the standard error. I provide confidence intervals for recessions and show that output peaks line up well with the onset of NBER recessions, but troughs often predate NBER equivalents.

Authors

Publication Details

Journal
IMF Working Paper
Published
2025-07-01
DOI
https://doi.org/10.5089/9798229015257.001
Primary Topic
Fiscal Policy and Economic Growth
Type
article
Field-Weighted Citation Impact
0.00
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article

Estimated Monthly National Accounts for the United States

Philip Barrett
IMF Working Paper
Fiscal Policy and Economic Growth
article

Estimated Monthly National Accounts for the United States

Philip Barrett
article en

Abstract

I jointly estimate monthly series for GDP and eight subcomponents for the US since 1950. The series match 1) quarterly national accounts equivalents, 2) exact data on monthly consumption, and 3) past relationships with other monthly indicators. I estimate the Kalman filter parameters by GMM, allowing fast calculation of confidence intervals for monthly estimates including parameter uncertainty, and validate the confidence intervals. After 1970 standard errors are tight, less than 0.3pp of GDP, and point estimates informative, with standard deviations four times the standard error. I provide confidence intervals for recessions and show that output peaks line up well with the onset of NBER recessions, but troughs often predate NBER equivalents.

IMF Working PaperVol. 2025(134)
Openalex Percentile: Top 77%
Fiscal Policy and Economic Growth
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