Nowcasting Spanish GDP Growth in Real Time: 'One and a Half Months Earlier'

Nowcasting Gdp in the Euro Area

This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MFVAR) approaches to model speci…cation in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious models based on exponential lag polynomials for the coe¢ cients, whereas MF-VAR does not restrict the dynamics and therefore can su¤er from the curse of dimensionality. But if...

Methods for Pastcasting, Nowcasting and Forecasting Using Factor-MIDAS with an Application to Real-Time Korean GDP *

We discuss a variety of recent methodological advances that can be used to estimate mixed frequency factor-MIDAS models for the purpose of pastcasting, nowcasting, and forecasting. In order to illustrate the uses of this methodology, we introduce a new real-time Korean GDP dataset, and carry out a series of prediction experiments, using a two step approach. In a first step, we estimate common l...

Potential Gdp Growth in Venezuela: a Structural Time Series Approach

Real GDP and oil prices are decomposed into common stochastic trend and cycle processes, using structural time series models. Potential real GDP is represented by the level of the trend component of real GDP. The potential rate of growth of real GDP is represented by the stochastic drift element of the trend component. We find that there is a strong association at the trend and cycle frequencie...

Indicator Models of Real Gdp Growth in Selected Oecd Countries

Nowcasting and Predicting Data Revisions in Real Time Using Qualitative Panel Survey Data

The qualitative responses that firms give to business survey questions regarding changes in their own output provide a real-time signal of official output changes. The most commonly-used method to produce an aggregate quantitative indicator from business survey responses – the net balance, or diffusion index – has changed little in 40 years. It focuses on the proportion of survey respondents re...