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Nowcasting GDP in Argentina : comparing the predictive ability of different models

Blanco, Emilio; D'Amato, Laura; Dogliolo, Fiorella; … - 2017

Having a correct assessment of current business cycle conditions is one of the major challenges for monetary policy conduct. Given that GDP figures are available with a significant delay central banks are increasingly using Nowcasting as a useful tool for having an immediate perception of...

Persistent link: https://www.econbiz.de/10011771629

A unified framework for dimension reduction in forecasting

Barbarino, Alessandro; Bura, Efstathia - 2017

Factor models are widely used in summarizing large datasets with few underlying latent factors and in building time series forecasting models for economic variables. In these models, the reduction of the predictors and the modeling and forecasting of the response y are carried out in two...

Persistent link: https://www.econbiz.de/10011708094

Discrete versus continuous state switching models for portfolio credit risk

Lucas, André; Klaassen, Pieter - 2003

Dynamic models for credit rating transitions are important ingredients for dynamic credit risk analyses. We compare the properties of two such models that have recently been put forward. The models mainly differ in their treatment of systematic risk, which can be modeled either using discrete...

Persistent link: https://www.econbiz.de/10011334358

More Power for Out-Of-Sample Tests of Predictability

Pincheira, Pablo M. - 2017

In this paper we introduce a “power booster factor” for out-of-sample tests of predictability. The relevant econometric environment is one in which the econometrician wants to compare the population Mean Squared Prediction Errors (MSPE) of two models: one big nesting model, and another...

Persistent link: https://www.econbiz.de/10012962463

Now-Casting Building Permits with Google Trends

Coble, David - 2017

sector. Nevertheless, new data on building permits are released with a lag close to two months. Therefore, an accurate now-cast … of this leading indicator is desirable. We show that models including Google search queries now-cast and forecast better …

Persistent link: https://www.econbiz.de/10012964103

Algorithmic Modelling of Financial Conditions for Macro Predictive Purposes : Pilot Application on the USA

Qin, Duo - 2018

Aggregate financial conditions indices (FCIs) are constructed to fulfill two aims: (i) The FCIs should resemble non-model based composite indices in that their composition is adequately invariant for concatenation during regular updates; (ii) the concatenated FCIs should outperform as leading...

Persistent link: https://www.econbiz.de/10012909647

Regime-dependent nowcasting of the Austrian economy

Fortin, Ines; Hlouskova, Jaroslava - 2023

We nowcast and forecast Austrian economic activity, namely real gross domestic product (GDP), consumption and … autoregressive model according to Ghysels (2016) and mixed data sampling approaches, and compare their forecast and nowcast … data. We are particularly interested in whether explicitly considering different regimes improves the nowcast. Thus we …

Persistent link: https://www.econbiz.de/10014432187

Forecasting Macroeconomic Time Series : LASSO-Based Approaches and Their Forecast Combinations with Dynamic Factor Models

Li, Jiahan - 2014

In a data-rich environment, forecasting economic variables amounts to extracting and organizing useful information out of a large number of predictors. So far dynamic factor model and its variants have been the most successful models for such exercises. In this paper, we investigate a category...

Persistent link: https://www.econbiz.de/10013056979

Evaluating the conditionality of judgmental forecasts

Berge, Travis J.; Chang, Andrew C.; Sinha, Nitish Ranjan - 2019

We propose a framework to evaluate the conditionality of forecasts. The crux of our framework is the observation that a forecast is conditional if revisions to the conditioning factor are faithfully incorporated into the remainder of the forecast. We consider whether the Greenbook, Blue Chip,...

Persistent link: https://www.econbiz.de/10012016753

Short-Term Forecasts of Euro Area Real GDP Growth : An Assessment of Real-Time Performance Based on Vintage Data

Diron, Marie - 2021

Economic policy makers, international organisations and private-sector forecasters commonly use short-term forecasts of real GDP growth based on monthly indicators, such as industrial production, retail sales and confidence surveys. An assessment of the reliability of such tools and of the...

Persistent link: https://www.econbiz.de/10013317625