Quarterly GDP figures usually are published with a delay of some weeks. A common way to generate GDP series of higher frequency, i.e. to nowcast GDP, is to use available indicators to calculate a single index by means of a common factor derived from a dynamic factor model (DFM). This paper deals...

The aim of the paper is to compare the forecasting performance of a class of state-dependent autoregressive (SDAR) models for univariate time series with two alternative families of nonlinear models, such as the SETAR and the GARCH models. The study is conducted on US GDP growth rate using...