Showing 1 - 10 of 31
A canonical model is described which reflects the real-time informational context of decision-making. Comparisons are drawn with ‘conventional’ models that incorrectly omit market-informed insights on future macroeconomic conditions and inappropriately incorporate information that was not...
Persistent link: https://www.econbiz.de/10008528535
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
paper, we compare their performance in a relevant case for policy making, i.e., nowcasting and forecasting quarterly GDP …
Persistent link: https://www.econbiz.de/10008528546
This paper discusses pooling versus model selection for now- and forecasting in the presence of model uncertainty with large, unbalanced datasets. Empirically, unbalanced data is pervasive in economics and typically due to different sampling frequencies and publication delays. Two model classes...
Persistent link: https://www.econbiz.de/10005123534
. Our empirical findings show that the factor estimation methods don't differ much with respect to nowcasting accuracy …
Persistent link: https://www.econbiz.de/10005124208
This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of...
Persistent link: https://www.econbiz.de/10008854481
In this paper we develop a mixed frequency dynamic factor model featuring stochastic shifts in the volatility of both the latent common factor and the idiosyncratic components. We take a Bayesian perspective and derive a Gibbs sampler to obtain the posterior density of the model parameters. This...
Persistent link: https://www.econbiz.de/10011083444
This paper introduces regime switching parameters in the Mixed-Frequency VAR model. We first discuss estimation and inference for Markov-switching Mixed-Frequency VAR (MSMF-VAR) models. Next, we assess the finite sample performance of the technique in Monte-Carlo experiments. Finally, the...
Persistent link: https://www.econbiz.de/10011083823
We propose a simple cross-sectional technique to extract daily latent factors from economic news releases available at different dates and frequencies. Our approach can effectively handle the large number of heterogeneous announcements that are relevant for tracking current economic conditions....
Persistent link: https://www.econbiz.de/10011083996
nowcasting Euro area and US GDP using monthly indicators. …
Persistent link: https://www.econbiz.de/10011084496