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A multi-country approach to analysing the euro area output gap
Huber, Florian; Piribauer, Philipp - 2018
an out-of-sample forecasting exercise, the paper shows that the proposed approach performs well as compared to other well …
Persistent link: https://www.econbiz.de/10011806537
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A multi-country approach to forecasting output growth using PMIs
Chudik, Alexander; Grossman, Valerie; Pesaran, M. Hashem - 2014
This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence … Purchasing Managers Indices (PMIs) for forecasting global (48 countries) growth, and compare forecasts from AugGVAR models with a … number of data-rich forecasting methods, including Lasso, Ridge, partial least squares and factor-based methods. It is found …
Persistent link: https://www.econbiz.de/10010438196
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The D-model for GDP nowcasting
Degiannakis, Stavros - In: Swiss journal of economics and statistics 159 (2023) 1, pp. 1-33
The paper provides a disaggregated mixed-frequency framework for the estimation of GDP. The GDP is disaggregated into components that can be forecasted based on information available at higher sampling frequency, i.e., monthly, weekly, or daily. The model framework is applied for Greek GDP...
Persistent link: https://www.econbiz.de/10014506547
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Factor models for non-stationary series : estimates of monthly U.S. GDP
Hengge, Martina; Leonard, Seton - 2017
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/10011669132
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Quantifying macroeconomic uncertainty in Norway
Bowe, Frida; Kirkeby, Sara Jahr; Lindalen, Ingvild Hagen; … - 2023
This paper presents a framework for quantifying uncertainty around point forecasts for GDP, inflation and house prices in Norway. The framework combines quantile regressions using a broad set of uncertainty indicators with a skewed t-distribution, allowing for time-variation and asymmetry in the...
Persistent link: https://www.econbiz.de/10014313751
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A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting
Bianchi, Carluccio; Carta, Alessandro; Fantazzini, Dean; … - 2009
World economies, and especially European ones, have become strongly interconnected in the last decades and a joint modelling is required. We propose here the use of Copulas to build flexible multivariate distributions, since they allow for a rich dependence structure and more flexible marginal...
Persistent link: https://www.econbiz.de/10010343909
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Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model
Carstensen, Kai; Heinrich, Markus; Reif, Magnus; … - 2019
probabilities with a simple GDP forecasting model yields an accurate nowcast for the steepest decline in GDP in 2009Q1 and a correct …
Persistent link: https://www.econbiz.de/10012098161
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Nowcasting GDP with electronic payments data
Galbraith, John W.; Tkacz, Greg - 2015
macroeconomic forecasting. Controlling for the release dates of each of a set of indicators, we generated nowcasts of GDP growth for …
Persistent link: https://www.econbiz.de/10011664042
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Do daily lead texts help nowcasting GDP growth?
Burri, Marc - 2023
This paper evaluates whether publicly available daily news lead texts help nowcasting Swiss GDP growth. I collect titles and lead texts from three Swiss newspapers and calculate text-based indicators for various economic concepts. A composite indicator calculated from these indicators is highly...
Persistent link: https://www.econbiz.de/10014324815
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A New Methodology for a Quarterly Measure of the Output Gap
Cacciotti, Marco - 2013
This paper presents a new mixed frequency methodology to estimate output gaps and potential output on a quarterly basis. The methodology strongly relies on the production function method commonly agreed at the European level (D'Auria et. al., 2010) but it significantly improves it allowing to...
Persistent link: https://www.econbiz.de/10013078009