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-term horizons. Inflation is known to be hard to forecast, but by exploiting timely information one obtains gains at nowcasting and … forecasting one-month ahead, especially with Bayesian VARs. Furthermore, for both real and nominal variables, the direct pooling …
Persistent link: https://www.econbiz.de/10011259073
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
is known to be hard to forecast, but by exploiting timely information one obtains gains at nowcasting and forecasting one …
Persistent link: https://www.econbiz.de/10011148706
This paper performs a fully real-time nowcasting (forecasting) exercise of US real gross domestic product (GDP) growth … nowcasting performance. Similarly to Giannone et al. pseudo realtime results, we find that the precision of the nowcasts …
Persistent link: https://www.econbiz.de/10008873357
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/10011669132
other linear models and hardly at all when backcasting and nowcasting. Moreover, the dynamic factor model beats the private … sector forecasters at nowcasting. This finding suggests that adding judgement to a mechanical model may not improve short …-term forecasting performance. …
Persistent link: https://www.econbiz.de/10009366263
We conduct a systematic comparison of the short-term forecasting abilities of eleven statistical models and … factors is a more promising forecasting strategy than averaging a large number of indicator-based forecasts. The dynamic and …
Persistent link: https://www.econbiz.de/10010601717
We define nowcasting as the prediction of the present, the very near future and the very recent past. Key in this … argue that the nowcasting process goes beyond the simple production of an early estimate and it consists in the analysis of … nowcasting traditionally conducted in policy institutions and used, alongside the judgemental procedures, in many central banks …
Persistent link: https://www.econbiz.de/10008468620
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