Extracting GDP signals from the monthly indicator of economic activity: Evidence from Chilean real-time data
AbstractReal-time data are analysed for information on the Chilean monthly economic activity indicator IMACEC and what it indicates of the final GDP, defined as the growth rate that has been subject to at least two annual revisions. Data are presented and revisions analysed briefly. Mincer-Zarnowitz tests suggest that forecast rationality is rejected with respect to the three-month IMACEC growth rate as a nowcast of the first released quarterly GDP, as well as the first published GDP as a nowcast of the final GDP. An out-of-sample nowcasting analysis was conducted using only data which were available in real-time. The results show that small models nowcast better than less parsimonious ones. The evidence from the empirical study suggests no improvement in the nowcasting performance when historical data are supplemented with the first monthly IMACEC of the quarter. On the other hand, when two monthly observations IMACEC are available, the root mean squared nowcast error (RMSNE) decreases by 24%, and a further decline of 33% is obtained when the third monthly observation of the quarter is published. Both of these advances are statistically significant. No further improvement is obtained with the publication of the first release of the quarterly GDP. JEL classifications: C89, E17 Keywords: Real-time data, data revisions, nowcasting
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Bibliographic InfoArticle provided by OECD Publishing,CIRET in its journal OECD Journal: Journal of Business Cycle Measurement and Analysis.
Volume (Year): 2013 (2013)
Issue (Month): 1 ()
Other versions of this item:
- Michael Pedersen, 2010. "Extracting GDP Signals From the Monthly Indicator of Economic Activity: Evidence From Chilean Real-Time Data," Working Papers Central Bank of Chile 595, Central Bank of Chile.
- C89 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Other
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
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