Real-Time Nowcasting of GDP: A Factor Model vs. Professional Forecasters

• Autores: Joelle Liebermann
• Localización: Oxford bulletin of economics and statistics, ISSN 0305-9049, Vol. 76, Nº. 6, 2014, págs. 783-811
• Idioma: inglés
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• Resumen

  • We perform a fully real-time nowcasting (forecasting) exercise of US GDP growth using Giannone et al.'s (2008) factor model framework. To this end, we have constructed a real-time database of vintages from 1997 to 2010 for a panel of variables, enabling us to reproduce, for any given day in that range, the exact information that was available to a real-time forecaster. We track the daily evolution of the model performance along the real-time data flow and find that the precision of the nowcasts increases with information releases and the model fares well relative to the Survey of Professional Forecasters (SPF).