Estimating Monthly GDP In A General Kalman Filter Framework: Evidence From Switzerland

In this paper, we estimate deseasonalized monthly series for Swiss gross domestic product at constant prices of 1990 for the period 1980-1998. They are consistent with the quarterly figures estimated by the Federal Office for Economic Development and Labour and are obtained by including information contained in related series. We present a general approach using the Kalman filter technique nesting a great variety of interpolation setups. We evaluate competing models and provide a time series that can be used by other researchers.