Estimated Monthly National Accounts for the United States

IMF Working Papers, July 4, 2025

Source details

I jointly estimate monthly series for GDP and eight subcomponents for the US since 1950.
The monthly series are constructed to match:
- quarterly national accounts equivalents,
- exact data on monthly consumption,
- past relationships with other monthly indicators.
I estimate the Kalman filter parameters by GMM, allowing fast calculation of confidence intervals for monthly estimates including parameter uncertainty, and validate the confidence intervals.
After 1970 standard errors are tight, less than 0.3pp of GDP, and point estimates informative, with standard deviations four times the standard error.
I provide confidence intervals for recessions and show that output peaks line up well with the onset of NBER recessions, but troughs often predate NBER equivalents.

Joint estimation of monthly GDP and eight subcomponents covering the US economy since 1950.
Matching targets:
- quarterly national accounts equivalents,
- exact monthly consumption data,
- historical relationships with other monthly indicators.
Estimation approach:
- Kalman filter parameters estimated by GMM.
- Procedure permits fast calculation of confidence intervals that incorporate parameter uncertainty.
- Validation of confidence intervals is performed.

Coverage: monthly series from 1950 onward.
Post-1970 inference:
- standard errors are tight, less than 0.3pp of GDP,
- point estimates are informative, with standard deviations four times the standard error.
Recession timing:
- confidence intervals for recessions provided,
- output peaks align well with the onset of NBER recessions,
- output troughs often predate NBER troughs.

Provides confidence intervals for identifying recessions on a monthly basis.
Comparison with NBER dating:
- Peaks: monthly estimated peaks align well with NBER recession onsets.
- Troughs: monthly estimated troughs frequently occur before NBER-designated troughs.