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This paper presents a novel dynamic factor model for non-stationary data. We begin by constructing a simple dynamic stochastic general equilibrium growth model and show that we can represent and estimate the model using a simple linear-Gaussian (Kalman) filter. Crucially, consistent estimation...
Persistent link: https://www.econbiz.de/10011926762
We define nowcasting as the prediction of the present, the very near future and the very recent past. Crucial in this … collected at low frequency and published with long delays. Until recently, nowcasting had received very little attention by the … basis of simple models. We argue that the nowcasting process goes beyond the simple production of an early estimate as it …
Persistent link: https://www.econbiz.de/10011605321
model's ability to handle the unbalanced arrival of data, also yields favorable nowcasting properties and thus starting …
Persistent link: https://www.econbiz.de/10012143703
This paper formalizes the process of updating the nowcast and forecast on output and inflation as new releases of data become available. The marginal contribution of a particular release for the value of the signal and its precision is evaluated by computing "news" on the basis of an evolving...
Persistent link: https://www.econbiz.de/10011604679
-on-quarter growth rates in Switzerland. It also assesses the informational content of macroeconomic data releases for forecasting of the … for GDP forecasting although their ranking depends on the underlying transformation of monthly indicators from which the …
Persistent link: https://www.econbiz.de/10010274409
-on-quarter growth rates in Switzerland. It also assesses the informational content of macroeconomic data releases for forecasting of the … for GDP forecasting although their ranking depends on the underlying transformation of monthly indicators from which the …
Persistent link: https://www.econbiz.de/10010277729
This study evaluates forecasting performance of a large-scale factor model developed in Siliverstovs and Kholodilin … (2012) in a genuine ex ante forecasting exercise. We perform our forecast of GDP growth in Switzerland in real time using …
Persistent link: https://www.econbiz.de/10010319722
-time and final data releases differ, we also observe minimal impacts on the relative forecasting performance of indicator …
Persistent link: https://www.econbiz.de/10011595792
across different horizons and real-time datasets. To further improve performances when forecasting with machine learning, we …
Persistent link: https://www.econbiz.de/10014374780
forecasting macroeconomic key variables such as GDP. However, the DFM has some weaknesses. For nowcasting, the dynamic factor … on euro-area data show that the now- and forecasting performance of our new model is superior to that of the subset …
Persistent link: https://www.econbiz.de/10011567405