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Anticipating business-cycle turning points in real time using density forecasts from a VAR
Schreiber, Sven - 2014 - This version: January 2014
For the timely detection of business-cycle turning points we suggest to use mediumsized linear systems (subset VARs with automated zero restrictions) to forecast the relevant underlying variables, and to derive the probability of the turning point from the forecast density as the probability...
Persistent link: https://www.econbiz.de/10010233998
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A note on the predictive power of survey data in nowcasting euro area GDP
Kurz-Kim, Jeong-Ryeol - 2018
This paper investigates the trade-off between timeliness and quality in nowcasting practices. This trade-off arises …. Our main finding from a historical nowcasting simulation based on euro area GDP is that the predictive power of the survey …
Persistent link: https://www.econbiz.de/10011846875
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Short-term forecasting economic activity in Germany : a supply and demand side system of bridge equations
2018
We present a comprehensive disaggregate approach for short-term forecasting economic activity in Germany by explicitly taking into account the supply or production side and the demand side of GDP. The GDP figures calculated by the two sides usually yield different results and the official GDP...
Persistent link: https://www.econbiz.de/10011900715
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Data revisions to German national accounts : are initial releases good nowcasts?
Strohsal, Till; Wolf, Elias - 2019
Data revisions to national accounts pose a serious challenge to policy decision making. Well-behaved revisions should be unbiased, small and unpredictable. This paper shows that revisions to German national accounts are biased, large and predictable. Moreover, using filtering techniques designed...
Persistent link: https://www.econbiz.de/10012034636
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nowcasting
Kurz-Kim, Jeong-Ryeol - 2016
forecasting macroeconomic key variables such as GDP. However, the DFM has some weaknesses. For nowcasting, the dynamic factor …
Persistent link: https://www.econbiz.de/10011566828
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Analyzing the relationships between survey forecasts for different variables and countries
Paloviita, Maritta; Viren, Matti - 2012
This paper evaluates the quality of survey forecasts, their accuracy and unbiasedness, and their overall consistency. The paper also tries to find out whether the relationships between economic variables are the same in survey data and in the actual data. In other words we analyze whether the...
Persistent link: https://www.econbiz.de/10012503030
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Are individual survey expectations internally consistent?
Paloviita, Maritta; Viren, Matti - 2012
This paper studies professional forecasts on a micro level using three alternative data sets. The analysis is mainly based on the ECB Survey of Professional Forecasts for the euro area, but for comparison, Consensus Economics survey and the Survey of Professional Forecasts for the US are also...
Persistent link: https://www.econbiz.de/10012503031
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Boosting Non-linear Predictability of Macroeconomic Time Series
Kauppi, Heikki; Virtanen, Timo - 2018
We apply the boosting estimation method to investigate to what ex-tent and at what horizons macroeconomic time series have nonlinearpredictability coming from their own history. Our results indicate thatthe U.S. macroeconomic time series have more exploitable nonlinearpredictability than...
Persistent link: https://www.econbiz.de/10012503077
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Recession Prediction with Optimal Use of Leading Indicators
Kauppi, Heikki - 2019
We use the gradient boosting estimation technique and the ROC curveto non-parametrically measure and exploit the maximal predictive powerof leading indicators for the future state of the business cycle. We de-velop novel procedures for finding the best performing transformationsof individual...
Persistent link: https://www.econbiz.de/10012503078
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MIDAS and bridge equations
Schumacher, Christian - 2014
multi-step nowcasting tool, whereas bridge equations are based on iterated forecasts; 2) MIDAS equations employ empirical … set for nowcasting includes the most recent indicator observations in both approaches. To discuss the differences between … models are compared in an empirical application to nowcasting GDP growth in the Euro area given a large set of business cycle …
Persistent link: https://www.econbiz.de/10010432327