A monthly indicator of private fixed capital formation; a model based approach

This paper by Floris van Ruth describes two methods for computing a monthly statistic based on a lower frequency, quarterly reference statistic and related monthly indicators. Both methods are based on a state space formulation and the Kalman filter. The first method is an interpolation methods, which is used to produce the monthly indicator of fixed capital formation development. The alternative method is a cumulative approach. Both methods produce credible and reliable monthly statistics. Crucial is the availability of relevant monthly indicators, in this case indicators of production and imports of capital goods.

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