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Forecasting Macedonian GDP : evaluation of different models for short-term forecastin
Jovanovic, Branimir; Petrovska, Magdalena - Narodna Banka na Republika Makedonija - 2010
We evaluate the forecasting performance of six different models for short-term forecasting of Macedonian GDP: 1) ARIMA …
Persistent link: https://www.econbiz.de/10011623268
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Forecast performance in the ECB SPF : ability or chance?
Meyler, Aidan - 2020
In this paper, we consider whether differences in the forecast performance of ECB SPF respondents reflect ability or chance. Although differences in performance metrics sometimes appear substantial, it is challenging to determine whether they reflect ex ante skill or other factors impacting ex...
Persistent link: https://www.econbiz.de/10012156473
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Covid-19 outbreak and beyond : the information content of registered short-time workers for GDP now- and forecasting
Kaufmann, Sylvia - 2020
The number of employees historically filed and registered from January to April 2020 for short-time compensation is used to obtain a nowcast for GDP growth in the first quarter and an outlook until the third quarter 2021. We purge the monthly log level series from the systematic component to...
Persistent link: https://www.econbiz.de/10012224722
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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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COVID-19 outbreak and beyond : the information content of registered short-time workers for GDP now- and forecasting
Kaufmann, Sylvia - In: Swiss journal of economics and statistics 156 (2020) 1/12, pp. 1-12
The number of short-time workers from January to April 2020 is used to now- and forecast quarterly GDP growth. We purge the monthly log level series from the systematic component to extract unexpected changes or shocks to log short-time workers. These monthly shocks are included in a univariate...
Persistent link: https://www.econbiz.de/10012392543
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News media vs. FRED-MD for macroeconomic forecasting
Ellingsen, Jon; Larsen, Vegard Høghaug; Thorsrud, Leif … - 2020
-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature … for forecasting consumption developments. …
Persistent link: https://www.econbiz.de/10012417502
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News media vs. FRED-MD for macroeconomic forecasting
Ellingsen, Jon; Larsen, Vegard Høghaug; Thorsrud, Leif … - 2020
-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature … for forecasting consumption developments. …
Persistent link: https://www.econbiz.de/10012304069
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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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Forecasting Chinese GDP growth with mixed frequency data : which indicators to look at?
Mikosch, Heiner; Zhang, Ying - 2014 - First version: December 01, 2013, This version: July 10, 2014
indicators for forecasting quarterly Chinese GDP growth. We iterate the evaluation over forecast horizons from 370 days to 1 day … 2009. Industrial production can be quite valuable for now- or even forecasting, but only if it is released shortly after … manufacturing purchasing managers' index of the Chinese National Bureau of Statistics help much for now- or forecasting. Our results …
Persistent link: https://www.econbiz.de/10010376402