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Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions

Author

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  • Nikoleta Anesti
  • Ana Beatriz Galvão
  • Silvia Miranda‐Agrippino

Abstract

We propose a release‐augmented dynamic factor model (RA‐DFM) that allows to quantify the role of a country's data flow in nowcasting both early Gross Domestic Product (GDP) releases and subsequent revisions of official estimates. We use the RA‐DFM to study UK GDP early revision rounds and assemble a comprehensive and novel mixed‐frequency dataset that features 12 years of real‐time data vintages. The RA‐DFM improves over the standard DFM in real time when forecasting the first release each quarter. Economic and survey data help to predict the first revision round.

Suggested Citation

  • Nikoleta Anesti & Ana Beatriz Galvão & Silvia Miranda‐Agrippino, 2022. "Uncertain Kingdom: Nowcasting Gross Domestic Product and its revisions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(1), pages 42-62, January.
    • Handle: RePEc:wly:japmet:v:37:y:2022:i:1:p:42-62
    DOI: 10.1002/jae.2845
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    References listed on IDEAS

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    1. Robert Lehmann, 2023. "The Forecasting Power of the ifo Business Survey," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 19(1), pages 43-94, March.

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