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Nowcasting from disaggregates in the face of location shifts

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  • Jennifer L. Castle

    (Department of Economics, Oxford University, Oxford, UK)

  • David F. Hendry

    (Department of Economics, Oxford University, Oxford, UK)

Abstract

Given a need for nowcasting, we consider how nowcasts can best be achieved, the use and timing of information, including disaggregation over variables and common features, and the role of automatic model selection for nowcasting missing disaggregates. We focus on the impact of location shifts on nowcast failure and nowcasting during breaks, using impulse saturation, its relation to intercept correction, and to robust methods to avoid systematic nowcast failure. We propose a nowcasting strategy, building models of all N disaggregate series by automatic methods, forecasting every variable each period, then testing for shifts in available measures, switching to robust forecasts of missing series when breaks are detected. Copyright © 2009 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.1140
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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 29 (2010)
Issue (Month): 1-2 ()
Pages: 200-214

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Handle: RePEc:jof:jforec:v:29:y:2010:i:1-2:p:200-214

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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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Cited by:
  1. David Hendry & Michael P. Clements, 2010. "Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts," Economics Series Working Papers 484, University of Oxford, Department of Economics.
  2. Ralf Brüggemann & Helmut Lütkepohl, 2011. "Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights," Working Paper Series of the Department of Economics, University of Konstanz 2011-23, Department of Economics, University of Konstanz.
  3. Pablo Duarte & Bernd Süssmuth, 2014. "Robust Implementation of a Parsimonious Dynamic Factor Model to Nowcast GDP," CESifo Working Paper Series 4574, CESifo Group Munich.
  4. Cai, Charlie X. & Kyaw, Khine & Zhang, Qi, 2012. "Stock index return forecasting: The information of the constituents," Economics Letters, Elsevier, vol. 116(1), pages 72-74.
  5. Neil R. Ericsson & Erica L. Reisman, 2012. "Evaluating a global vector autoregression for forecasting," International Finance Discussion Papers 1056, Board of Governors of the Federal Reserve System (U.S.).
  6. Jennifer Castle & David Hendry, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers 674, University of Oxford, Department of Economics.

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