In this paper, we empirically assess the extent to which early release inefficiency and definitional change affect prediction precision. In particular, we carry out a series of ex-ante prediction experiments in order to examine: the marginal predictive content of the revision process, the...

In this paper, we contribute to the nascent literature on nowcasting and forecasting GDP in emerging market economies using big data methods. This is done by analyzing the usefulness of various dimension reduction, machine learning and shrinkage methods including sparse principal component...

We utilize mixed frequency factor-MIDAS models for the purpose of carrying out pastcasting, nowcasting, and forecasting experiments using real-time data. We also introduce a new real-time Korean GDP dataset, which is the focus of our experiments. The methodology that we utilize involves first...

We take a model selection approach to the question of whether a class of adaptive prediction models (artificial neural networks) is useful for predicting future values of nine macroeconomic variables. We use a variety of out-of-sample forecast-based model selection criteria, including forecast...

In the context of latent factor models that are widely used in economics, a common assumption made is one of factor pervasiveness, which implies that all available predictor or informative variables in a dataset, with the possible exception of a negligible number of them, load significantly on...

Rationality of early release data is typically tested using linear regressions. Thus, failure to reject the null does not rule out the possibility of nonlinear dependence. This paper proposes two tests that have power against generic nonlinear alternatives. A Monte Carlo study shows that the...

Rationality of early release data is typically tested using linear regressions. Thus, failure to reject the null does not rule out the possibility of nonlinear dependence. This paper proposes two tests which instead have power against generic nonlinear alternatives. A Monte Carlo study shows...