A latent variable approach to constructing monthly indicators; fixed capital formation

Econometric techniques can be a powerful aid for the production of statistics. A prime example is the use of so-called benchmarking or interpolation techniques for producing more detailed or frequent statistics when complete data are lacking. Here, a version is tested which aims to produce a monthly indicator of fixed capital formation from the quarterly national accounts series. In this version, three latent monthly indicators are defined for each quarter, and derived from available related monthly indicators. A credible monthly series can be constructed, but unfortunately real time performance is shown to be unsatisfactory.