Floris van Ruth Constructing a monthly indicator of fixed capital formation via high frequency interpolation
the state space approach
Gedrukt boek
Having to produce accurate high-frequency economic statistics with limited data available is a common problem for statistical institutions. This study tests whether state space based approaches to high-frequency interpolation can provide a solution. The test case is creating a monthly index of private fixed capital formation. The results show that the techniques tested here can produce estimates of acceptable accuracy using only a limited number of readily available related indicators. An additional advantage is that this approach can be easily automated, resulting in a very fast and efficient production process