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Combined density nowcasting in an uncertain economic environment

Aastveit, Knut Are; Ravazzolo, Francesco; Dijk, Herman … - 2014

We introduce a Combined Density Nowcasting (CDN) approach to Dynamic Factor Models (DFM) that in a coherent way … nowcasts. The combination weights are latent random variables that depend on past nowcasting performance and other learning …

Persistent link: https://www.econbiz.de/10010465155

From first-release to ex-post fiscal data : exploring the sources of revision errors in the EU

Beetsma, Roel; Bluhm, Benjamin; Giuliodori, Massimo; … - 2011 - This version: May 2011

, because these figures are an input for the next budget and the fiscal surveillance process. Deviations of ex-post from first …-release fiscal figures may arise for political and strategic reasons. In particular, Ministries of Finance control the production of … improvement in the quality of institutions, whether measured by the tightness of national fiscal rules, the medium-term budgetary …

Persistent link: https://www.econbiz.de/10011386471

Does economic uncertainty predict real activity in real-time?

Keijsers, Bart; Dijk, Dick van - 2022

We assess the predictive ability of 15 economic uncertainty measures in a real-time out-of-sample forecasting exercise for the quantiles of The Conference Board's coincident economic index and its components (industrial production, employment, personal income, and manufacturing and trade sales)....

Persistent link: https://www.econbiz.de/10013375365

Forecasting daily time series using periodic unobserved components time series models

Koopman, Siem Jan; Ooms, Marius - 2004

We explore a periodic analysis in the context of unobserved components time series models that decompose time series into components of interest such as trend and seasonal. Periodic time series models allow dynamic characteristics to depend on the period of the year, month, week or day. In the...

Persistent link: https://www.econbiz.de/10011342560

Can Google search data help predict macroeconomic series?

Niesert, Robin; Oorschot, Jochem; Veldhuisen, Chris; … - 2019

been satisfactorily answered. We focus on out-of-sample nowcasting, and extend the Bayesian Structural Time Series model …

Persistent link: https://www.econbiz.de/10011987495

Bayesian forecasting of US growth using basic time varying parameter models and expectations data

Basturk, Nalan; Ceyhan, Pinar; Dijk, Herman K. van - 2014

Time varying patterns in US growth are analyzed using various univariate model structures, starting from a naive model structure where all features change every period to a model where the slow variation in the conditional mean and changes in the conditional variance are specified together with...

Persistent link: https://www.econbiz.de/10010399680

Nowcasting and forecasting economic growth in the Euro area using principal components

Hindrayanto, Irma; Koopman, Siem Jan; Winter, Jasper de - 2014

Many empirical studies have shown that factor models produce relatively accurate forecasts compared to alternative short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and different forecast horizons. However, various specifications...

Persistent link: https://www.econbiz.de/10010395082

Statistical early warning models with applications

Harlaar, Lucas P.; Commandeur, Jacques Jean François; … - 2024

This paper investigates the feasibility of using earlier provisional data to improve the now- and forecasting accuracy of final and official statistics. We propose the use of a multivariate structural time series model which includes common trends and seasonal components to combine official...

Persistent link: https://www.econbiz.de/10015062979

Tracking growth and the business cycle : a stochastic common cycle model for the Euro area

Azevedo, João Valle e; Koopman, Siem Jan; Rua, António - 2003

This paper proposes a new model-based method to obtain a coincident indicator for the business cycle. A dynamic factor model with trend components and a common cycle component is considered which can be estimated using standard maximum likelihood methods. The multivariate unobserved components...

Persistent link: https://www.econbiz.de/10011334364

The evolution of forecast density combinations in economics

Aastveit, Knut Are; Mitchell, James; Ravazzolo, Francesco; … - 2018

Increasingly, professional forecasters and academic researchers present model-based and subjective or judgment-based forecasts in economics which are accompanied by some measure of uncertainty. In its most complete form this measure is a probability density function for future values of the...

Persistent link: https://www.econbiz.de/10011895935

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