Nowcasting methods have become a crucial tool for central banks and investors due to their timeliness and ability to make 'on the spot' predictions. However, despite their popularity, there has been little research into statistical methods for the comparison of different nowcasts across multiple...

This paper proposes tests for pairwise and multiple out-of-sample comparisons of parametric conditional quantile models. The tests rank the distance between actual and nominal conditional coverage w.r.t. the \textit{union} of information sets across models, for a given loss function. Our...

This paper provides novel tests for comparing out-of-sample predictive ability of two or more competing models that are possibly overlapping. The tests do not require pre-testing, they allow for dynamic misspecification and are valid under different estimation schemes and loss functions. In...

This paper promotes the use of panel data in nowcasting. We shift the existing focus of the literature, which has almost exclusively used time series models to nowcast national aggregate variables like gross domestic product (GDP). We propose a mixed-frequency panel VAR model and a...