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Forecasting and nowcasting real GDP: Comparing statistical models and subjective forecasts

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  • Jansen, W. Jos
  • Jin, Xiaowen
  • de Winter, Jasper M.

Abstract

We conduct a systematic comparison of the short-term forecasting abilities of twelve statistical models and professional analysts in a pseudo-real-time setting, using a large set of monthly indicators. Our analysis covers the euro area and its five largest countries over the years 1996–2011. We find summarizing the available monthly information in a few factors to be a more promising forecasting strategy than averaging a large number of single-indicator-based forecasts. Moreover, it is important to make use of all available monthly observations. The dynamic factor model is the best model overall, particularly for nowcasting and backcasting, due to its ability to incorporate more information (factors). Judgmental forecasts by professional analysts often embody valuable information that could be used to enhance the forecasts derived from purely mechanical procedures.

Suggested Citation

  • Jansen, W. Jos & Jin, Xiaowen & de Winter, Jasper M., 2016. "Forecasting and nowcasting real GDP: Comparing statistical models and subjective forecasts," International Journal of Forecasting, Elsevier, vol. 32(2), pages 411-436.
    • Handle: RePEc:eee:intfor:v:32:y:2016:i:2:p:411-436
    DOI: 10.1016/j.ijforecast.2015.05.008
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    More about this item

    Keywords

    Forecasting competitions; Factor models; Professional forecasters; Judgment;
    All these keywords.

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models

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