The accuracy of real-time forecasts of macroeconomic variables that are subject to revisions may crucially depend on the choice of data used to compare the forecasts against. We put forward a flexible time - varying parameter regression framework to obtain early estimates of the final value of...

Building on a mixed data sampling (MIDAS) model we evaluate the predictive power of a variety of monthly macroeconomic indicators for forecasting quarterly Chinese GDP growth. We iterate the evaluation over forecast horizons from 370 days to 1 day prior to GDP release and track the release days...

Building on a mixed data sampling (MIDAS) model we evaluate the predictive power of a variety of monthly macroeconomic indicators for forecasting quarterly Chinese GDP growth. We iterate the evaluation over forecast horizons from 370 days to 1 day prior to GDP release and track the release days...

In this paper we extend the Stock and Watson’s (Leading economic indicators, new approaches and forecasting records, 1991) single-index dynamic factor model in an econometric framework that has the advantage of combining information from real and financial indicators published at different...

In this paper we propose a new real-time forecasting model for euro area GDP growth, D€STINY, which attempts to bridge the existing gap in the literature between large- and small-scale dynamic factor models. By adopting a disaggregated modelling approach, D€STINY uses most of the information...

We investigate the usefulness of the European Commission confidence indicators in forecasting real GDP growth rates in the short-run in selected euro areas countries (Belgium, Spain, Germany, France, Italy and the Netherlands) which account for almost 90% of the euro area. We estimate a linear...

Analyzing the performance of the economy in real time is a challenge for those who must forecast macroeconomic variables such as inflation or employment. A key aspect of this challenge is evaluating the incoming flow of information contained in economic announcements. In this article, the...

We apply the novel approach of Siliverstovs (2015) to modelling data sampled at different frequencies in order to scrutinise the composition of one of the most influential economic indicators in Switzerland. The Purchasing Managers' Index consists of eight sub-indices out of which only five...

Building on the literature on regularization and dimension reduction methods, we have developed a quarterly forecasting model for euro area GDP. This method consists in bridging quarterly national accounts data using factors extracted from a large panel of monthly and quarterly series including...

The authors build a model for predicting current-quarter real gross domestic product (GDP) growth using anywhere from zero to three months of indicators from that quarter. Their equation links quarterly Canadian GDP growth with monthly data on retail sales, housing starts, consumer confidence,...