What can one do if price indices aren't available on quarterly basis by sector? Is there a way to calculate them myself? And if not, can I work on current data for time series analysis? I will be doing a VAR, granger causality, impulse response functions and variance decomposition.
Maye Ehab, GDP is aggregate gross domestic product and services produced and offered in a financial year. So it is not possible to get the quarterly data of GDP but yes industrial production is available even for quarters, which can be used for time series analysis.
It depends on the statistical office of the country you are interested in. There are rolling quarterly estimates of GDP in some countries, and inflation indices for sectors are sometimes available monthly (see for example UK consumer price inflation reports monthly by the UK's National Statistics - although CPI is not technically designed to use a a deflator...). Statistician like to check validity carefully on any official release, but contacting the statistical office of the country you are interested in might produce some useful results, in some countries. Really it depends how well funded the statistical office in question is..
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