Nowcasting in real time: Large Bayesian vector autoregression in a test

We analyse the accuracy of an econometric model for nowcasting GDP growth in a true real-time setting. The analysis is based on a unique sample of nowcasts that were produced in real time and stored. Our results support the use of econometric models for nowcasting because the accuracy of these real-time nowcasts is found to be comparable to the first GDP estimates of the statistical authority. The nowcasts are produced by a large Bayesian vector autoregressive model. We find the model fares well against other statistical models, and the results suggest that its performance has been more robust to COVID-19 fluctuations than that of a dynamic factor model. We also analyse comments on the nowcast tweets published on Twitter in real time.