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This paper presents a novel dynamic factor model for non-stationary data. We begin by constructing a simple dynamic stochastic general equilibrium growth model and show that we can represent and estimate the model using a simple linear-Gaussian (Kalman) filter. Crucially, consistent estimation...
Persistent link: https://www.econbiz.de/10011926762
This study aims to construct a new monthly leading indicator for Tunisian economic activity and to forecast Tunisian quarterly real GDP (RGDP) using several mixed-frequency models. These include a mixed dynamic factor model, unrestricted mixed-data sampling (UMIDAS), and a threepass regression...
Persistent link: https://www.econbiz.de/10013179409
The object of this paper is to nowcast, forecast and track changes in Tunisian economic activity during normal and crisis times. The main target variable is quarterly real GDP (RGDP) and we have collected a large and varied set of monthly indicators as predictors. We use several mixed frequency...
Persistent link: https://www.econbiz.de/10012606380
based on the flow of available monthly economic indicators that are available during the same quarter. The nowcasting …. In addition to the models, the choice of the variables and measurement of the loss function in evaluating nowcasting … performance are the core of nowcasting. In a time marked by pandemic of corona virus and war in Ukraine, nowcasting models have …
Persistent link: https://www.econbiz.de/10013432967
expected nonlinear effect of military action challenge the use of established nowcasting and shortterm forecasting …
Persistent link: https://www.econbiz.de/10014476136
nowcasting performance of these models against the benchmark model in terms of the out-of-sample root mean square error at three …
Persistent link: https://www.econbiz.de/10014374307