Dataset Information
Data Updated 
5 days ago, on 19 Apr 2014

Frequency  quarterly 
Source  Federal Reserve Bank of Philadelphia 
Validate  http://www.phil.frb.org/researchanddata/realtimecenter/gdpplus/GDPplus_vi... 
Permalink  http://www.quandl.com/FRBP/GDPPLUS 
Code  FRBP/GDPPLUS 
Description 
GDPplus is a measure of the quarteroverquarter rate of growth of real GDP in annualized percentage points. It improves on the BEA's expenditure and incomeside measures, GDP_E and GDP_I, respectively. GDP_E is the 'standard' GDP measure used routinely, whereas GDP_I is little used, but each contains useful information. In particular, as proposed in Aruoba, Diebold, Nalewaik, Schorfheide, and Song (ADNSS) PDF, one can view both GDP_E and GDP_I as noisy indicators of underlying latent true GDP, which can then be extracted using optimal filtering methods. Here we implement the ADNSS framework. We call the optimal GDP extraction GDPplus. On this web page, we provide GDPplus data. We will update the page whenever a new GDPplus vintage becomes available, whether due to a new release or a revision of the underlying GDP_E and GDP_I indicators. Note that all annualized growth rates use the formula for continuous compounding. We estimate the ADNSS twoequation model with the restriction on the variance matrix for the shocks. Estimation uses the method of maximum likelihood. 