Procedure for State Space Benchmarking to Correct the Measurement Error in Quarterly GDP

This paper presents a methodology for refinement of the official Brazilian quarterly GDP estimates. A state space benchmarking procedure was used to correct the original series measurement error in such a way that the total of the quarterly GDPs equal the annual GDP. We followed the steps presented in Durbin & Queenneville (1997) and Durbin & Koopman (2004) and it is an extension of ours previous study – Cerqueira (2006).  The period spans from the time in which the government agency (IBGE) started estimating the series up to the present, i.e., 1980 to 2007. The procedure eliminates as much as possible the measurement error. By building this methodology we researched the possibility of performing more precise GDP estimates. The main contribution of the paper is having made available for those interested parties a stricter Brazilian GDP and having built the foundations for the development of a systematic methodology for GDP forecast.
Key Words: benchmarking; state space models; GDP.
JEL: C10-1, E01, E30.