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Sergei Antoshin, Mr. Andrew Berg, and Mr. Marcos R Souto
In a recent paper, Bai and Perron (2006) demonstrate that their approach for testing for multiple structural breaks in time series works well in large samples, but they found substantial deviations in both the size and power of their tests in smaller samples. We propose modifying their methodology to deal with small samples by using Monte Carlo simulations to determine sample-specific critical values under the each time the test is run. We draw on the results of our simulations to offer practical suggestions on handling serial correlation, model misspecification, and the use of alternative test statistics for sequential testing. We show that, for most types of data generating processes in samples with as low as 50 observations, our proposed modifications perform substantially better.
Mr. Alin T Mirestean, Mr. Charalambos G Tsangarides, and Huigang Chen
Bayesian Model Averaging (BMA) provides a coherent mechanism to address the problem of model uncertainty. In this paper we extend the BMA framework to panel data models where the lagged dependent variable as well as endogenous variables appear as regressors. We propose a Limited Information Bayesian Model Averaging (LIBMA) methodology and then test it using simulated data. Simulation results suggest that asymptotically our methodology performs well both in Bayesian model selection and averaging. In particular, LIBMA recovers the data generating process very well, with high posterior inclusion probabilities for all the relevant regressors, and parameter estimates very close to the true values. These findings suggest that our methodology is well suited for inference in dynamic panel data models with short time periods in the presence of endogenous regressors under model uncertainty.
Mr. Michael Weber and Ms. Michaela Denk
International organizations collect data from national authorities to create multivariate cross-sectional time series for their analyses. As data from countries with not yet well-established statistical systems may be incomplete, the bridging of data gaps is a crucial challenge. This paper investigates data structures and missing data patterns in the cross-sectional time series framework, reviews missing value imputation techniques used for micro data in official statistics, and discusses their applicability to cross-sectional time series. It presents statistical methods and quality indicators that enable the (comparative) evaluation of imputation processes and completed datasets.
Candelario Trujillo, Jr.

Special drawing rights, the new reserve asset being held by 104 participating Fund members, were established by electronically computing and transferring each country’s allocation onto a computer magnetic tape. Allocations of SDR’s made to participating members have the effect of increasing the reserves of those members. The author describes in simple language how the computer system for accounting for SDR’s was devised.

Mr. Nils O Maehle, Mr. Robert Dippelsman, and Mr. Adriaan M. Bloem

Abstract

10.1. Work-in-progress concerns production that goes beyond one period. Measurement of such production poses the problem that a single process has to be split into separate periods. Because of the shorter accounting period, these difficulties are relatively more significant for quarterly national accounts (QNA) than for annual national accounts (ANA).

Mr. Nils O Maehle, Mr. Robert Dippelsman, and Mr. Adriaan M. Bloem

Abstract

11.1. Revisions are an essential part of good quarterly national accounts (QNA) compilation practice because they provide users with data that are as timely and accurate as possible. Resource constraints, in combination with user needs, cause tension between the timeliness of published data on the one hand and reliability, accuracy, and comprehensiveness on the other hand. To reduce this tension, typically, preliminary data are compiled that later are revised when more and better source data become available. Good management of the process of revisions requires the existence of a well-established and transparent revision policy.

Mr. Nils O Maehle, Mr. Robert Dippelsman, and Mr. Adriaan M. Bloem

Abstract

3.1. This chapter deals with the process of identification and assessment of quarterly data sources. Because circumstances differ, it is not possible to create a standard set of sources that can be applied in all countries. Rather, the approach taken in this chapter is to describe the alternatives that are used in quarterly national accounts (QNA) compilation in various countries and some of the considerations that need to be taken into account in choosing among them.

International Monetary Fund
This technical note focuses on recent developments to the Report on the Observance of Standards and Codes (ROSC) on Fiscal Transparency and Data Modules for Sweden. The authorities are implementing recommendations of the fiscal ROSC module. The government has decided to reform the state audit organization (RRV) as recommended by the report. Effective 2003, the RRV will be transformed from a government agency to an audit office under parliament, staffed by independent officials. The authorities are also following up on recommendations regarding data-related standards and codes.