Carol Corrado

Application of the Kalman filter to revisions in monthly retail sales estimates

This paper applies the Kalman filter to improve upon published preliminary estimates of monthly retail sales, using ARIMA model projections as an alternative information source. Published revisions of retail sales estimates showed systematic patterns. Consequently, the filter problem is specified to incorporate models of the data revision processes as well as to treat contemporaneous covariances among residuals of the data revision models and the ARIMA retail sales models. The resulting specification, which is sufficiently general to be applicable to other bodies of data, yields considerable success in reducing the often substantial errors in the early retail sales estimates.

Sectoral Productivity in the United States: Recent Developments and the Role of IT

Abstract This paper introduces new estimates of recent productivity developments in the United States, using an appropriate theoretical framework for aggregating industry multi-factor productivity (MFP) to sectors and the total economy. Our work sheds light on the sources of the continued strong performance of US productivity since 2000.We find that the major sectoral players in the late 1990s pickup were not contributors to the more recent surge in productivity. Rather, striking gains in MFP in the finance and business service sector, a resurgence in MFP growth in the industrial sector, and an end to drops elsewhere more than account for the aggregate acceleration in productivity in recent years. Further, some evidence is found for a link between IT intensity and the recent productivity acceleration.

The measurement and analysis of monetary transactions

Abstract This paper explores linkages between the monetary payments mechanism and business activity. We introduce a new measure of the volume of transactions associated with output o utput p roduction (TOP) and analyze the empirical connections between TOP and other macroeconomic variables. The first part of the paper describes the accounting basis of TOP and shows how transactions accounting differs from national income and product accounting. We then show how TOP can be derived from the same basic data as is used to measure GNP. Next, we examine three applications of transactions accounting: (1) the relationships between monetary payments and other measures of business activity, (2) the flow of cash among economic sectors through payments and receipts, and (3) the transactions velocity of money. In each application, we find that TOP fills an important gap. Finally, we observe that TOP provides a bridge that links the productive activities of an economy with its monetary payments mechanism.